Metcalfe's law and log-period power laws in the cryptocurrencies market
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 la...
| Prif Awduron: | , |
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| Fformat: | Erthygl |
| Iaith: | English |
| Cyhoeddwyd: |
De Gruyter
2019-12-01
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| Cyfres: | Economics: Journal Articles |
| Pynciau: | |
| Mynediad Ar-lein: | https://doi.org/10.5018/economics-ejournal.ja.2019-29 |
| _version_ | 1828826022454231040 |
|---|---|
| author | Pele Daniel Traian Mazurencu-Marinescu-Pele Miruna |
| author_facet | Pele Daniel Traian Mazurencu-Marinescu-Pele Miruna |
| author_sort | Pele Daniel Traian |
| collection | DOAJ |
| description | 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. According to the bidirectional causality between the price and the network size, the expected price increase is a driver for more investors to join the Bitcoin network, which may lead in the end to a super-exponential price growth, possibly due to a herding behaviour of investors. 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 of this paper 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. |
| first_indexed | 2024-12-12T14:30:13Z |
| format | Article |
| id | doaj.art-68a0f1a16fcc4cadbfd5473fccf94e4f |
| institution | Directory Open Access Journal |
| issn | 1864-6042 |
| language | English |
| last_indexed | 2024-12-12T14:30:13Z |
| publishDate | 2019-12-01 |
| publisher | De Gruyter |
| record_format | Article |
| series | Economics: Journal Articles |
| spelling | doaj.art-68a0f1a16fcc4cadbfd5473fccf94e4f2022-12-22T00:21:34ZengDe GruyterEconomics: Journal Articles1864-60422019-12-0113110.5018/economics-ejournal.ja.2019-29Metcalfe's law and log-period power laws in the cryptocurrencies marketPele Daniel Traian0Mazurencu-Marinescu-Pele Miruna1The Bucharest University of Economic Studies,Bucharest, RomaniaThe Bucharest University of Economic Studies,Bucharest, RomaniaIn 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. According to the bidirectional causality between the price and the network size, the expected price increase is a driver for more investors to join the Bitcoin network, which may lead in the end to a super-exponential price growth, possibly due to a herding behaviour of investors. 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 of this paper 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.https://doi.org/10.5018/economics-ejournal.ja.2019-29cryptocurrencybitcoincrixlog-periodic power lawmetcalfe’s lawstable distributionherdingc22c32c51c53c58e41e42e47e51g1g17 |
| spellingShingle | Pele Daniel Traian Mazurencu-Marinescu-Pele Miruna Metcalfe's law and log-period power laws in the cryptocurrencies market Economics: Journal Articles cryptocurrency bitcoin crix log-periodic power law metcalfe’s law stable distribution herding c22 c32 c51 c53 c58 e41 e42 e47 e51 g1 g17 |
| title | Metcalfe's law and log-period power laws in the cryptocurrencies market |
| title_full | Metcalfe's law and log-period power laws in the cryptocurrencies market |
| title_fullStr | Metcalfe's law and log-period power laws in the cryptocurrencies market |
| title_full_unstemmed | Metcalfe's law and log-period power laws in the cryptocurrencies market |
| title_short | Metcalfe's law and log-period power laws in the cryptocurrencies market |
| title_sort | metcalfe s law and log period power laws in the cryptocurrencies market |
| topic | cryptocurrency bitcoin crix log-periodic power law metcalfe’s law stable distribution herding c22 c32 c51 c53 c58 e41 e42 e47 e51 g1 g17 |
| url | https://doi.org/10.5018/economics-ejournal.ja.2019-29 |
| work_keys_str_mv | AT peledanieltraian metcalfeslawandlogperiodpowerlawsinthecryptocurrenciesmarket AT mazurencumarinescupelemiruna metcalfeslawandlogperiodpowerlawsinthecryptocurrenciesmarket |