Metcalfe's law and herding behaviour in the cryptocurrencies market

Arbeitspapier

In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe's law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's law (the value of a network is proportional to the square of the number of connected users of the system) for the evaluation of cryptocurrencies; however, in the short-run, the validity of Metcalfe's law for Bitcoin is questionable. As the results showed a potential for herding behaviour, the authors then used LPPL models to capture the behaviour of cryptocurrencies exchange rates during an endogenous bubble and to predict the most probable time of the regime switching. The main conclusion is that Metcalfe's law may be valid in the long-run, however in the short-run, on various data regimes, its validity is highly debatable.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Economics Discussion Papers ; No. 2019-16

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Model Construction and Estimation ; Forecasting Models; Simulation Methods ; Financial Econometrics ; Demand for Money ; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Money Supply; Credit; Money Multipliers ; Financial Forecasting and Simulation
• Thema: Cryptocurrency ; Bitcoin ; CRIX ; Log-Periodic Power Law ; Metcalfe's Law ; Stable Distribution ; Herding

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Pele, Daniel Traian ; Mazurencu-Marinescu-Pele, Miruna
• Ereignis: Veröffentlichung
• (wer): Kiel Institute for the World Economy (IfW)
• (wo): Kiel
• (wann): 2019

Weitere Informationen

• Handle: http://hdl.handle.net/10419/193179
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ