APPLYING THE LOCAL MARTINGALE THEORY OF BUBBLES TO CRYPTOCURRENCIES

DOI10.1142/S0219024922500133zbMath1496.91102OpenAlexW4223482990MaRDI QIDQ5088800

Soon Hyeok Choi, Robert A. Jarrow

Publication date: 13 July 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024922500133

zbMATH Keywords

local martingaleprice bubblecryptocurrencyforeign currencybubble detectionmodified convex hull algorithm

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Actuarial science and mathematical finance (91G99)

Cites Work

• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• On the martingale property of certain local martingales
• No arbitrage condition for positive diffusion price processes
• Continuous-time asset pricing theory. A martingale-based approach
• A Mathematical Theory of Financial Bubbles
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• On estimating the diffusion coefficient from discrete observations
• Theory of Cryptocurrency Interest Rates
• How to Detect an Asset Bubble

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