Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10401527" target="_blank" >RIV/00216208:11230/19:10401527 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5ok5Q0ngPL" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5ok5Q0ngPL</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2019.04.109" target="_blank" >10.1016/j.physa.2019.04.109</a>
Alternative languages
Result language
angličtina
Original language name
Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws
Original language description
Dynamics of the Bitcoin price as the most prominent cryptocurrency is studied in the light of two fundamental economic laws - the Law of One Price and the Equation of Exchange. Utilizing the unprecedented data availability of Bitcoin statistics, we are able to construct a theoretical exchange rate base of the cryptocurrency with respect to the US dollar. Through the concept of statistical equilibrium verified by the cointegration relationship, we show several interesting points. First, the Bitcoin price dynamics is very well captured by the underlying transaction data which leads to a strong fundamental basis of the cryptocurrency. Second, several historical bubbles hit the confidence intervals around the fundamental price but then start their correction back to the equilibrium. Third, the fundamental price implied by the transaction data is not ever-increasing but reflects the ups and downs of Bitcoin utility in transactions. And fourth, our theory-implied fundamental price suggests that the current (December 2018) Bitcoin price is very close to its fundamental price estimated at around $3,500.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica A: Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
536
Issue of the periodical within the volume
December
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
7
Pages from-to
1-7
UT code for WoS article
000500034900031
EID of the result in the Scopus database
2-s2.0-85066989719