论文标题
由比特币创新和适应性行为驱动的自我维持的价格气泡
Self-sustained price bubbles driven by Bitcoin innovations and adaptive behavior
论文作者
论文摘要
我们表明，当交易者使用自适应投资策略时，交易商品的无限可分裂性会导致自我维持的价格泡沫。当交易者对未来价格的估计与实际实现的价格不符时，自适应策略可以被视为交易者对这种情况的心理反应。我们使用多代理模型来说明价格气泡形成并量化其主要统计特性，例如回报，波动率和价格气泡崩溃的系统风险。我们讨论了气泡推动数字货币价格的合理性。
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation when the trader's estimation of future prices does not match the actual, realized price. We use a multi-agent model to illustrate the price bubble formation and to quantify its main statistical properties such as the return, the volatility, and the systematic risk of the price bubble to crash. We discuss the plausibility for bubbles to drive prices of digital currencies.
