The Economics of Bitcoins: News, Supply vs Demand and Slumps

Research output: Working paperDiscussion paper

204 Citations (Scopus)
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Abstract

This paper conducts the first detailed analysis of the dynamics of Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of both volatility clusters and extreme price movements. The results suggest that the influence of the latter is particularly pronounced - larger than in other markets - and remains largely unchanged over time. These results gain importance as the Bitcoin market only recently emerged and is characterised by a number of distinct market features which imply that there are no uncertainties on the Bitcoin supply-side. Thus, the observed price movements are attributable to demand side factors.
Original languageEnglish
PublisherUniversity of Aberdeen Business School
Number of pages19
Publication statusPublished - Dec 2015

Publication series

NameDiscussion Paper in Economics
PublisherUniversity of Aberdeen
No.17
Volume15
ISSN (Electronic)0143-4543

Keywords

  • Bitcoins
  • Jump models
  • Commodity Pricing

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