2021/11/22 by Misha Perepelitsa, Perepelitsa, Misha
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Network Analysis Techniques #Complex Systems and Time Series Analysis #FOS: Economics and business #Trading and Market Microstructure (q-fin.TR)
paper · pdf · doi:10.48550/arxiv.2111.11315
openalex publication_date 2021/11/22 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a self-organized speculative scheme that results in a formation of a characteristic price bubble as a transient phenomenon. We use microscale, agent-based models to simulate the system behavior and derive macroscale ODE models to estimate such parameters as the return rate and the market value of investments. We provide the formula for the total risk of the system as a sum of two independent components, one being characteristic of the price bubble and the other of the investor behavior.