Article
Operations Research & Management Science
Alessandra Cretarola, Gianna Figa-Talamanca
Summary: Empirical evidence suggests the presence of bubble effects on Bitcoin price dynamics during its lifetime, with bubbles related to the correlation between the market attention factor on Bitcoin and Bitcoin returns. According to historical data, bubble effects are evident in the early years of Bitcoin introduction as well as in the recent race of 2017.
ANNALS OF OPERATIONS RESEARCH
(2021)
Article
Business, Finance
Can-Zhong Yao, Hong-Yu Li
Summary: The study reveals the characteristics and mechanisms of the Bitcoin bubble in 2019, identifying two significant bubble cycles and analyzing the reasons and impacts of the bubbles. The LPPLS model is proposed to infer the timing of a bubble burst, showing stable results. The 2019 bubble had a shorter duration, weaker positive feedback mechanism, and a lower and unstable oscillating frequency compared to the 2017 bubble, which would be more beneficial for long-term investors.
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
(2021)
Article
Acoustics
Xun Wang, Weizhong Chen, Min Zhou, Zekun Zhang, Lingling Zhang
Summary: This paper investigates the pulsations and translation of bubbles in a double-bubble system driven by burst ultrasound. The results show that adjusting the burst frequency and amplitude can enhance the pulsations and improve the translation velocities of bubbles. Larger bubbles result in faster translation velocities, but the velocity decreases for excessively large bubbles. The initial distance between bubbles also affects the translation velocities.
ULTRASONICS SONOCHEMISTRY
(2022)
Article
Business, Finance
Lingbo Gao, Wuyi Ye, Ranran Guo
Summary: This study explores the dynamic tail risk in the Bitcoin market by jointly estimating value-at-risk (VaR) and expected shortfall (ES) using the conditional autoregressive value-at-risk (CAViaR) model. The results show a form of regime change in Bitcoin's VaR and ES, and the bubble index significantly impacts tail risk and improves the model's ability to estimate and predict VaR and ES.
FINANCE RESEARCH LETTERS
(2022)
Article
Economics
Christophe Desagre, Paolo Mazza, Mikael Petitjean
Summary: Understanding the liquidity and trading dynamics in the cryptocurrency market is crucial for regulators and investors. By examining high-frequency order-book and trade data, we find that the trading and liquidity dynamics around extreme returns in the cryptocurrency market are similar to those in traditional markets.
Article
Business, Finance
Chuanhai Zhang, Haicui Chen, Zhe Peng
Summary: This paper investigates the impact of Bitcoin futures introduction on the volatility of Bitcoin. The study finds that Bitcoin's normal and jump volatility increase in the short term, exhibit opposing directions in the mid term, and decrease in the long term. Additionally, the research examines the association between futures trading activity and Bitcoin volatility, finding that unexpected trading volume and open interest are positively related to both normal and jump volatility in the short and mid term.
FINANCE RESEARCH LETTERS
(2022)
Article
Economics
David Bourghelle, Fredj Jawadi, Philippe Rozin
Summary: This paper builds an empirical model to explain bitcoin volatility and characterize phases of the bitcoin bubble using investor emotions and sentiment. The study reveals the significant role of collective emotions in the formation and collapse of the bitcoin bubble, and identifies the time-varying, asymmetric, and nonlinear effects of emotions on bitcoin volatility.
JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION
(2022)
Article
Business, Finance
Samet Gunay, Kerem Kaskaloglu
Summary: This paper utilizes various econometric analyses to examine the relationship between NFTs, Ethereum, and Bitcoin. The findings indicate that NFTs do not demonstrate unique price developments and do not have a specific financial linkage with Ethereum. Alternative financial instruments are suggested for NFT investors in portfolio diversification.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2022)
Article
Mathematics
Zehra Eksi, Daniel Schreitl
Summary: The Bitcoin market displays characteristics of pricing bubbles with high volatility and risks. Investors need to optimize their exit strategies. This study examines the performance of the partially observable digital-drift model and optimal exit strategy in Bitcoin trading, using Bitcoin halving events to estimate the unknown intensity of random drift changes. The out-of-sample performance analysis shows that the return of Bitcoin momentum trades heavily depends on the entry date.
Article
Business, Finance
Ishanka K. Dias, J. M. Ruwani Fernando, P. Narada D. Fernando
Summary: This study investigates the impact of investor sentiment on predicting bitcoin returns and volatility. Through empirical evidence, it supports the applicability of behavioral finance theories in the bitcoin market and identifies a nonlinear relationship between investor sentiment and returns/volatility.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2022)
Article
Energy & Fuels
Shangning Wang, Shangze Yang, Shuyi Qiu, Xuesong Li, David L. S. Hung, Min Xu
Summary: Flash boiling is a significant phenomenon in internal multiphase flow, which leads to unique spray structures. Although many studies have been conducted on this phenomenon, the detailed transition mechanism from in-nozzle bubble to out-nozzle spray droplets has not been experimentally observed, and existing theories fail to explain the morphology change in micro-scale droplets with high velocities.
Article
Business, Finance
S. Thomas Kim
Summary: This study examines if holding Bitcoin provides any benefit other than potential price appreciation. The estimation result suggests that the Bitcoin spot contract has a premium compared to the futures contract, indicating a holding benefit of Bitcoin. The premium is attributed to the short-selling restrictions in Bitcoin spot markets and the value of voting rights.
FINANCE RESEARCH LETTERS
(2022)
Article
Computer Science, Information Systems
Shan Ai, Guoyu Yang, Chang Chen, Kanghua Mo, Wangyong Lv, Arthur Sandor Voundi Koe
Summary: This paper investigates selfish mining attacks, proposes the ESM model and EBSM attack method, and conducts quantitative analysis and simulation.
INFORMATION SCIENCES
(2022)
Article
Economics
Akihiro Omura, Adrian (Wai Kong) Cheung, Jen Je Su
Summary: The volatility linkage between Bitcoin and electricity/energy markets has not been adequately studied. This research uses the HAR-RV model and high-frequency data to examine the volatility spillover between Bitcoin and natural gas. The findings suggest that natural gas has a significant spillover effect on Bitcoin.
Article
Business, Finance
Yang Hu, Yang (Greg) Hou, Les Oxley, Shaen Corbet
Summary: This paper examines the relationship between leading blockchain patent development and Bitcoin price volatility, finding that Bitcoin acts as a volatility receiver and identifying companies like Microsoft, Mastercard, Intel and Visa as major contributors to volatility spillovers in the Bitcoin market. The study also points out that the spillover effects towards Bitcoin markets increase from the short-term to the long-term, suggesting the influence of large corporations on cryptocurrency prices through technological announcements.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2021)
