Is Bitcoin a bubble?
Sign Up to like & getrecommendations! Published in 2019 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2018.11.031
Abstract: The narrative of a Bitcoin is a bubble is very common. We employ statistical techniques to empirically evaluate such claim. A branch of literature links the existence of a bubble in some financial asset’s price… read more here.
Keywords: bitcoin bubble; bubble bitcoin; strict local; asset ... See more keywords
A characterization of the set of local martingale measures
Sign Up to like & getrecommendations! Published in 2017 at "Stochastics and Dynamics"
DOI: 10.1142/s0219493718500429
Abstract: We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally… read more here.
Keywords: local martingale; characterization set; martingale measures; set local ... See more keywords