This paper examines historical Bitcoin price data together with the of a well-known and generally accepted asset bubble (the 1720 South Sea Bubble) aim identifying possible similarities. In order to find empirical evidence speculative tendencies, article analyses distribution moments autoregressive models time series both assets. Results show that daily prices assets—taking into account one yea...

In this paper we study the accruement and decay of asset price bubbles under the assumption that young agents behave boundedly rationally when rst entering the market and then gain more and more experience when growing older, nally reaching a state of perfect rational behavior. We set up an overlapping generations model where agents form their beliefs about the payo of a risky asset by combinin...

In this study, I analyze Bitcoin transaction data and build an economic model on Bitcoin traders incentives to decompose the Bitcoin price into a utility-driven component, a speculative component, and a friction component. The model I build extends the LDA (Latent-Dirichlet-Allocation) model, and I perform a paralleled collapsed Gibbs Sampling method to estimate the realized incentives of each ...

Abstract The South Sea Bubble is one of history's most iconic economic events. While much ink was spilled during the bubble year to make sense events as they unfolded, commentators were left scrambling for ways grasp what happened because no had ever experienced a stock market before. This article focuses on how London press covered that later became known Bubble. A review every newspaper in wh...

This paper studies how certain speculative transitions in financial markets can be ascribed to a symmetry break that happens in the collective decision making. Investors are assumed to be bounded rational, using a limited set of information including past price history and expectation on future dividends. Investment strategies are dynamically changed based on realized returns within a game theo...

Recent droughts in the midwestern United States threaten to cause global catastrophe driven by a speculator amplified food price bubble. Here we show the effect of speculators on food prices using a validated quantitative model that accurately describes historical food prices. During the last six years, high and fluctuating food prices have lead to widespread hunger and social unrest. While the...

Creative destruction not only involves bringing new technology to market, it imposes higher risk on the future of existing assets. We contrast the asset pricing implications of creative destruction in a setting in which non-cooperative agents compete for market share with a socially optimal benchmark (i.e., a one agent case). Compared to the one-agent case, non-cooperative behavior leads to ove...

A trivariate vector autoregression time series process, based on a present-value land price model, is used to decompose Iowa farmland prices into fundamental and non-fundamental components. A recent study, by Falk and Lee (1998), found that non-fundamental shocks are an important source of volatility in farmland prices and it was interpreted that these price movements were due to fads not specu...

This study examines the time series behaviour of housing prices series for 69 cities in China. The general housing price index, the index of newly constructed buildings and the price index of second hand buildings from 2005:7 to 2010:12 are examined. The univariate fractionally integrated models are employed in order to determine whether shocks to the variables have transitory or permanent effe...