How is price explosivity triggered in the cryptocurrency markets?

Cai, Yuzhi; Chevapatrakul, Thanaset; Mascia, Danilo V

Abstract

We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that the explosive behaviour originates from the extreme upper tails of the return distributions following a price increase in the preceding day. We do not find evidence of explositivity in the price of Litecoin.

Citation

Cai, Y., Chevapatrakul, T., & Mascia, D. V. (2021). How is price explosivity triggered in the cryptocurrency markets?. Annals of Operations Research, 307(1-2), 37-51. https://doi.org/10.1007/s10479-021-04298-4

• Journal Article Type: Article
• Acceptance Date: Sep 9, 2021
• Online Publication Date: Oct 15, 2021
• Publication Date: Dec 1, 2021
• Deposit Date: Sep 14, 2021
• Publicly Available Date: Jan 7, 2022
• Journal: Annals of Operations Research
• Print ISSN: 0254-5330
• Electronic ISSN: 1572-9338
• Publisher: Springer Verlag
• Peer Reviewed: Peer Reviewed
• Volume: 307
• Issue: 1-2
• Pages: 37-51
• DOI: https://doi.org/10.1007/s10479-021-04298-4
• Keywords: Management Science and Operations Research; General Decision Sciences
• Public URL: https://nottingham-repository.worktribe.com/output/6239254
• Publisher URL: https://link.springer.com/article/10.1007%2Fs10479-021-04298-4