TESTING FOR BUBBLES IN CRYPTOCURRENCY PRICES WITH RIGHT-TAILED UNIT ROOT TESTS Текст научной статьи по специальности «Экономика и бизнес»

4p^mnmpdni.]pUhp^ qUtprntf «фт^^иЬр^» phumm^npnL^p tf^m^np шр^шш^ ptumtp^ oqbnLpjmUp

UilbmJiujmh U U.

bplimhji щЬшшlJшh hmiim[umpmh (Zmjmummh, bplimh)

ara.avetisyan@ysumail. am

C^tfnh^h Z. U

ZшJ-ПnnLuшlшh hшlíшluшpшh (Zш]шuшшh, ЪрЬш^

harut.shmavonyan@gmail.com

4^nnpn2 ршпЬр lp^цшnшpdnL]pUЬp, «фт^ЦЬЬр», ^пшд^Ьш^ q^qn^gnttf

Тестирование «пузырей» в ценах криптовалют с помощью правостороннего теста на единичный корень

Аветисян А. А.

Ереванский государственный университет (Армения, Ереван)

ara.avetisyan@ysumail.am Шмавонян А. А.

Армянско-российский университет (Армения, Ереван)

harut.shmavonyan@gmail. com

Резюме: Огромные колебания цен на криптовалют вызвали много споров. Из-за отсутствия какого-либо центрального банка, правительства или регулирующего органа, а также из-за существенно децентрализованной компьютерной сети ежедневный оборот с биткойнами достигает сотен миллионов долларов. Это наблюдение привело к тому, что некоторые эксперты утверждают, что цена биткойна является огромным спекулятивным пузырем, и его стоимость не основана на какой-либо фундаментальной ценности. Однако некоторые авторы отвергают эту точку зрения, определяя модель ценообразования на основе предельных издержек издании биткоита.

Как мы можем отличить спекулятивный пузырь от роста цен из-за рационального роста основы актива, который не имеет четкого экономического определения?

В работе будут представлены статистические тесты для распознавания пузырей цен на активы, будет обсуждена динамика цен биткоина и рипла, вышеуказанные тесты будут использованы с целью распознавания пузырей в рынке криптовалют на исторических данных.

Ключевые слова: криптовалюта, пузырь, иррациональное ценообразование

Testing for Bubbles in Cryptocurrency prices with Right-Tailed unit root tests

Avetisyan A.A.

Yerevan State University (Armenia, Yerevan) ara.avetisyan@ysumail.am Shmavonyan H.A. Russian-Armenian University (Yerevan, Armenia) harut.shmavonyan@gmail. com

Abstract: Huge fluctuations in cryptocurrency prices caused a lot of controversy. Due to the absence of any central bank, government or regulatory body, and also due to a substantially decentralized computer network bitcoins' daily turnover reaches hundreds of millions of dollars. This observation led to the fact that some experts claim that the price of bitcoin is a huge speculative bubble, and its cost is not based on any fundamental value. However some authors reject this point of view defining a pricing model on the basis of marginal costs of bitcoin.

How can we distinguish a speculative bubble from a rise in prices due to a rational growth of fundamental asset that does not have a clear economic definition?

Statistical tests for recognition of bubbles of asset prices will be introduced in this paper, the price dynamics of bitcoin and a ripple will be discussed, the above-stated tests will be used for the purpose of recognition of bubbles in the market of cryptocurrencies based on historical data. Keywords: cryptocurrency, bubble, irrational pricing.

P^ppn^üp hшüшЦшpq¿ШJ^ü gmüg^ ^pm h^üü^mb шщшЦhümpnü Цp^щmnqpшф^Ц ^frp-mntmL mpdntjp^ u^hüm t, npp ^hpg^ü mmp^-ühp^ü ühpqpm^h t pm^m^mü^ü ühb p^n^ oqmmmhphp^ [1]: P^ppn^ü^ ^mnntg^mbpp mnmg^ü müqmü ühp^mjmg^h^ t Ummn2^ Ъш-Цшйпшп]^ ^nqü^g 2008 p^m^mü^ü hpmsm-pm^mb m2^mmntpjmü ühg: L^üh^n^ ünpm-pmpntpjntü p^ppn^üp müü^gm^hu À.hnp ph-phg ühb hü¿hqnLpjniü ümüntL^ ^nqü^g, mpdm-ümgm^ ^ü¿^hu püqntühLntpjmü, mjü^hu tL püümqmmnLpjniüühp^ ^mnm^mpntpjntüühp^ U ^mpqm^npnq ümpü^üühp^ ^nqü^g:

P^ppn^üp umhqb^ntü t hmüm^mpq^mj^ü hqnpntpjmüp ^mnntg^mb pmpq ^nqhp^ 2ünp-h^: ^pnghup ^n^^ntü t «ümjü^üq» U rnhum^m-ünphü ^mpnq t ^pmqnpb^h gmü^mgmb ümp-qni. ^nqü^g, n^ ntü^ hmüm^mpq^^ [8]: ^mpq umhümüümüp4 p^ppn^üp pmpq mLqnp^pü t, npp ^hrnp t pmgmhmjm^ ümjü^üq^ ü^gngn^: P^ppn^üp ^mpnq t A.hnp php^h ümU un^npm-^mü mnUmp^, ^ü¿^hu ümU mühmrnm^mü фп-^mügntüühp^ ü^gngn^: P^ppn^ü pnqmp^nq ümjühpp oqmmqnpbntü t hmüm^mpq^^ ^pn-ghu^üqmj^ü hqnpntpjntüp, np^huq^ ^mrnmp^ Цp^щmnqpшф^Ц mLqnp^pü^ hmümp mühpm-dh2s hm2^mp^ühpp: Hp^hu mjq ^pnghunpm-j^ü dmümüm^^ фn^hшmnLgnLÜ mjü ümjüh-pp, npp mühüm^mpá dmümüm^mhmrn^mbntü Lntbntü t Цp^щmnqpшф^Ц ^üq^pp, ummüntü t p^ppn^üp: Uju^un^, ümjü^üqp ^phü^g hü-pmqpntü t pnqmp^nqühp^ ü^gU üpgm^gntp-jniü, mpqjniüpnLü p^ppn^ü^ ünp ü^m^n-p^ A.Um^npümü qpntjpp hmummmntü t, U цш-hmügmp^^ máp ^mpnq hmüqhgühL шпш-gmp^^ m^ [2]:

Qümjmb mjü hmüqmümüp^ü, np np^hu mp-drn.jp p^ppn^üp h^üpntü ¿ntü^ npUt ^mpqm-^npnq ümpüü^ m^mhn^ntpjntü, mjü u^mnnq-ühp^ hmümp qpm^¿ t pmü^ ^mmámnüh-pn^: Unmg^ü m^ümnnt mnm^hLntpjntüp pm-фшüg^ЦnLpJnLÜü t. gmüg^ pnLnp hmüqnLjgüh-pp ünLjü ¿шфп^ m^pm^hmntü hü ^üфnpüш-g^mj^ü: Zmüm^mpq^ ühpuntü фn^шügnLÜüh-p^ ümu^ü nqg ^üфnpüшg^шü qpmüg^ntü t püqhmüntp hmumüh^ m^mLühp^ pmqmjntü, U npn2m^ ^mpphpm^müntpjmüp pmpümg^ntü t mjq püpmgpntü rnhq^ ntühgmb фn^шü-gntüühp^ ümu^ü mhqh^mm^nLpjntüp, np^ü m^hLmg^ntü t ümU pLn^ühp^ urnhqbümü dm-

ümüm^^ ümu^ü mhqh^mm^nLpjntüp: ^üфnp-ümg^nü pmpümgntüp ^pntü t ^ntrnm^mj^ü pünLjp, mühü pmpümgntü^g hhsn ^üфnpüш-g^mj^ü m^hLmg^ntü t üm^npq dmümüm^m-hmrn^mbntü rnhq^ ntühgmb фn^шügnLÜühp^ ü^mpmqpntpjntüp, ^pm^rn^^nphü mü-

hümp t qmp^üntü фn^шügnLÜühp^ ümu^ü rn^jmLühpntü hhrn^ü p^n^ npUt фnфn^nLp-

jntü: P^ppn^ü^ hhs mnü^^nq qnp&mppühpnttf ¿Цш ümuüm^gnq npU^gh hppnpq ^nqü, mpqjntüpntü hmüm^mpqp qmnüntü t Цшшш-phLm^hu m^m^hürnpnü: ^ünpqp U ^m^mnnqp hü müü^gm^hu ü^üjmüg hhs (peer to peer), pmjg üpmüg mü^üm^mü rn^jmLühpp Цп-qm^np^mb hü, U n¿ mü^üm^ü rn^jmL hm-umühj^ ¿t ntp^2 müA.^:

P^ppn^ü^ qühpp ЦшpnLЦ má m^phg^ü 2015 p. hntü^u^ü mpA.mümqp^m& 250$-^g 2017p. qh4rnhüphp^ü hmuühLn^ 19000$, mpqjntüpntü Цшц^шшL^qшg^шü qh-

pmqmüghg 325 ÜLPq-^ 2hüp: Ujdü tL, opшЦшü hmpjntp ü^L^nüm^np qnLmpühp^ bm^mLn^ 2p2mümnntpjntü t rnhq^ niühünttf p^ppn^ün^, Цp^цшnшpdnLJpühpp qnpbntü hü h^üüm-^npm^hu ^phüg m^m^ümpnümg^mb

hшüшЦшpq¿ШJ^ü gmüg^ 2ünph^^ mqmhn^-^mb ¿L^ühLn^ npUt ЦhüшpnüшЦшü pшüЦ^, Цш-nm^mpntpjmü Цш^ Цшpqш^npnq npUt ümpüü^ Цnqü^g:

Uju q^шшpЦnLÜp h^üp m^hg npn2 ümuüm-qhrnühp^ ^üqhL, np Цp^цшnшpdnLJpühp^ qühpp ^phüg^g ühpЦшJшgünLÜ hü huЦшJшЦшü uцhЦnLLjшш^^ фnL¿^Ц U qpmüg mpdhp^ h^ü-pntü ¿Цш npUt h^üümpmp ühbntpjntü [3]: Uüqmü Wall Street Journal-p npшЦhg p^ppn^üp np^hu «hm^mümpmp qpn h^üümpmp mpdh-pn^» ühbntpjntü [9]:

Zmjhup ^üqntü t, uшЦшJÜ, np p^ppn^üp ntü^ ¿шфhL^ ühpp^ü mpdhp U umhümüntü t qümqnjmgümü ünqhL, npp h^üü^mb t pnqшpЦ-ümü umhümümj^ü mpdhp^ ^pm: ZшüшЦшpq-¿mj^ü Цhüшpnüшg^шb gmüphp^ ü^gngn^ ünp p^ppn^ü^ ushqbümü ^pnghup ümjü^üqp, ^mhmügntü t tLhЦшpшЦшünLpJшü u^mnntü, npp ^pшЦшü ¿шфhL^ bm^u t hmüq^umüntü ümjü^üq^ üшuüшЦ^gühp^ hmümp ÀUm^nph-Ln^ p^ppn^ü^ pnqшpЦüшü umhümümj^ü bm^-up:

^jhup uшhJшhnLJ t pnqшplJшh uшhJш-opшlшü ^^up J^jh^hq^ J^lnp ntd^ huiifuip ^ûlî;- ' htonlijuq Ijhpuj.

W = * w^titf/? *krä№j

(i)

flpmhq E^.-p pnqmpljnqji hmifmp qrqui-pшфh шpmшhшJmnLpjшUp opшlшh ^^uh t, o-h Jrnjhhp^ InqJ^g oqmшqnp&lnq hшJш-Ijmpq^mjJili hqnpni_pjni_titi t, î/ÈtVfr-p ilblj ^р^шт^шИ^ hшJшp q^hh t qnlшpшфh mpmmhuijmni_pjuiifp, ^ffff/?-|i tühpq]iui]]i mpqjnLÜuii|hmni_pjnúiti t, U Ar^-p орфи dшJhp^ pшüшlp:

U^hhnLjh Jrnjhhp^ InqJ^g opшlшh pn-qшpllnq p^ppn^hhhp^ uщшulnq pшhшlp hш2lhLnL hшJшp oqmшqnp&lnLJ t hhmh^L ЬшфиишрпиГр

ftr

■ (2)

flpmhq PTC/dee^*-p plippnjiliji opmljmli pnquiplpfuiti ищшифщ ifmljmpqmljli t, jS-ü ppljji uipqjnüipp (шртшЬицтфиЬ BTC/black ifjiu^nptihpni]), p-li ifuijtihpli IjnqifJig oqrnui-qnpbijnq hqnpntpjnüip, Jiulj tf-ti puipqni_pjuiti mumji^mlip (шртшЬицтфиЬ GEi/black ифш-ф^йЬрпф): iac^ huiuuiuiuinüip ifhlj duiifnuf i[m]pljmlilihpli puitiuiljti t, Jiulj &гЙсг.--р líhlj op^ dшJhp^ ршЬш^: P^nl^ шpq]nLÜpp IhpglhL t 12,5 BTC pjn^ hшJшp [3]:

¿шИшшЛ.ш^ Uфlpnmhmhuшq^mnLpjшh mhuntp^h lшmшp]ШL JpgшlgnLp]шh щш]-J^hhhpnLJ uшhJшhшфh шpqjnl.hpp щЬтр t hшlшuшp l^h^ uшhJшhшфh ^^u^h, np^h h щЬтр t hшlшuшp l^h^ 1ш£шпр^ qfrhp: Z^Jp phqnthh^nl шр mhuшlшh hшlшuшpnl.p]nl.hp ^ph^ t lhpghh]_ $/BTC qh^ Jшlшpqшlp np^hu ^^u/op h P^ppn^h /op Jh&nLpjnth-lihpji huipuiphpni_pjnúi: Uju P* pnquiplpfuiti opjhlm^l q^hp qh^ umnp^h uшh-

J^h t hшhq^uшhnLÜ, np^g hhpph pnqшplnqp llp^ uшhJшhшфh Inpntum, h hhpшqplnLJ t, np qni_pu Ijqui pnquiplpJuiti hmifmljmpqlig: P*-p шpmшhш]mlnLÜ t Jhl p^ppn^h^ hшJшp qn-lшpшфh шpmшhш]mnLp]шüp mp^& pшpqnL-p]шh h pnqшplüшh цшpшqш]nLÜ

Э£,

В: С (3)

Uju^^unl, hhq^hшl^ InqJ^g umшglш& шpqjnLhphhpp pnLjL hh rnmi^u ^hqhp np pn-qшplüшh uшhJшhшфh ^^up t pfrp-

pn^h^ qhшqn]шgüшh h^üpntü h JhpdntJ t ш^ h^^nphqp, np p^ppn^h^ pnqшplnLÜp h^ühш-lnpшцhu hhpшqpnLÜ:

$^hшhuшlшh 2nLlшhhpnLÜ фпъ^^ц шuh-Lnl hшulшhnLÜ hh h^ühшpшp шpdh-

p^ hlшmüшüp 2nLlш]шlшh qh^ ш^p npn2шl^ dшüшhшlшhшmlшЬ^ phpшgpnLÜ, npp hlш-pшqplnLÜ t hplшpшmh qhhp^ ш^п1 h qpшh hш2npqnq шhlüшüp: Cum C^iqhpfr. «Ulqphш-lшh 2P2шhnLÜ q^hp ш^пш t: ^ш hшhqhghnLÜ t qhhp^ ш^^, npp цш]üшhшlnplшЬ t

шpqhh ^ul шпЦш pшpA.p qhhp^ цшpшqш]nLÜ hhpqpnqhhp^ цшhшh2шpl^ шlhLшgüшüp: Uju ш^^ hplpnpq фnLLP hhmшqшpà Цшщ t шцшhnlnLÜ hppnpq фпц^ hшüшp, hhmn ¿nppnpq, h ш]uцhu 2шpnl.hшl» [У]:

Z^Jp phqnthh^nl ihpp h2^& шpqjnLhphhpp шп ш]h, np p^ppn^hp nth^ qpnj^g mшpphplnq h^ühшpшp шpdhp, npp шpmшhш]mlnLÜ t üш]h^hq^ ^pnghuntü uшhüшhш]^h Ьш^uh-pnl, lшpnq hhp ш2^шmшhp^ ш]u hшmlш-bntü oqmшqnp&hl_ шlm^lhhp^ qhhpntü фпъ-áшhш¿üшh l^^шlшqpшlшh phumh-pp: Ujq phumhpp h^ühlшЬ hh шlm^lhhp^ qhhp^ 2шppnLÜ umшhqшpm ADF ü^шlnp шp-йшт phum^ ш2шlnqü]шh lpш,

npmhq qpn]шlшh h^^nphqp ü^шlnp шp-U^mh t, ^ul ш]Lphmpшhpш]^h h^^nphqp Jhl^g Jhb шpdhp phqnthnq шlmnnhqphu^l qnp^l^gh t:

Ф. З. Чшф h S. 3nt^ (PWY) lnq-

J^g InqJ^g hhq^hшlшЬ phumhpp ntqq^b hh фnL¿^lhhp^ ^шhш¿üшhh nLqlшЬ lp^m mhu-p^ ünmhgüшhp, npmhq h^ühшlшh Ihhmpn-hшgnLÜp h^ühшpшphhp^g 2hqntJhhp^ pшgш-hш]mnLÜh t qhшqn]шgnLÜp:

Unqh]_p nhqphu^nh hшlшuшpüшh mhupnl mplntü t hhmh^L lhp^.

(4)

npmhq d-h hшumшmnLh t, T-h phmpшhp^ ^тфий t, Jiulj íf-ü mhqmjlimglinq ujmpmifhmpli t, npp lшnшlшpnLÜ t mqmrn qnpЬшlg^ Jh&nt-pjntlip li hnupp, hpp Г cc>:

bhpшqphhp, np фnфn^lnq цшmnLhшhnl nhqphu^nh phmpшhpp ululntü t phqhшhnLp

plimpuilipji (Т) rj -pq ifuiutiuipuidtilig Ii ш^шрш-фпл! T^-pq líuiutiuipuidtinuí, nprnhq

, U

-ü

nhqphu^mф Цnmnpm-

щштп^шй^ ^шфий t: tü^p^ nhq-phujinü linqlqp Ipupnq t

(5)

nprnhq k-ü i^mqmjjili Ijuipqti t, U . } :

IJimuiplpiuitihpli puitiuiljp nhqphujiuijnuí Tu = И t, nprnhq [,]-p gntjg t шшфи uip-qntühüm^ шйрп^2 ürnup: ADF ^fr^^qp^-pjnüip (t-huipuiphpni_p]nüip)4 h]iiílii|ui& uiju nhqphujiuijli i]pui, ti2uitiuil^nuí t AD-F^ [5]:

Rtadf ^nqü^g phumm^np^nq

hm^mumpnLtfp ntü^ hhшU]ШL ^p^m mhup^ uipmuihuijmni_pjnúip

(6)

nprnhq yt-ü ЬшфиишргГшй фпфп]ии11рийй t (puidiihinniiuji qjitip), jlí-Ii uiquirn qnpbmljjigü t, p-ti luiqhpji uinuii|hiuiqni_jti uipdhpti t, £t-ü и^ш^й t [4]:

Ф^тш^^^т.^ t hhшU]ШL qpnjmЦmü h^-^nphqp

ÜTA i 5>1

Ъ2шüшЦhüp hшüшщшшши^шü b^^^q-pni_pjnúip Jiulj ADFX-p ЦЬипГшщш-

шши^шй^ шйрпц^шЦшй pümpmüp^ü: Spn]ш-Цшй h^nphq^ ühppn Цпг^йшйр'

nprnhq W-li uuiuitiquipui Ppnnúijuiti 2Uip-dnuiti t, Jiulj № (r) = WÇr} - f W (r)dr

À.Umфn^mЬ PpnnLÜ]шü 2шpdnLÜü ' t [6]: SADF phurnp

U^ü^ SADF phum^ü mügühlp, müqpmqmpÀ Цшшшphüp ADF phum^ü: ^шpqnLp]шü hш-ürnp ühüp oqmmqnpЬnLtf hüp [0,1] püшpшüpш-j^ü (T-n^ ünptfmфqmg^nLtf t

uljqpümljmli ptimpuitipp): L2uitiuiljhtip î^. -ni^ U ADFfW. -ni[ (6) hmi|uiuuipiíuiiíp qtiuihuiui-^шЬ qnpЬmЦ^gp U qpmü hшüшщшшшu^шü

ADF i]]i¿íuiliuiqpni_pjnúip [г1-Гга] tinpiíuqjiquig-^шЬ pümpmüp^ hшüшp: ^hurnhp^ ü^U шшp-phpni_pjnüitihpp pjunui hü ri U Г; ptirn-pntpjntü^g:

Ипш^^ phurnp ummüqmpm ADF phurn^ uiguilpiqiijuiti muipphpuiljti t: Uju qhujpnui rt U ф^pu^mЬ hü, np^hu шйрпц^ pümpmüp^ шиш^^ U ^hpg^ü q^mmpЦnLtfühp, ^u^

4 ~re - 1

SADF phurnp h^tfü^ntü t ADF tfnqhj^ ^p^ü^nq hш2^шpЦ^ ^ш, npp Цшшшp^nLÜ t цшpрhpшршp pü^pA^^nq püшpшüp^ hш-2npqшЦшünLpjшü ^pш, U phurnp ^hpg^ntü t, np^hu hшúшqшшшu^шü ADF pjntüühp^ hmgnpqm^müntpjmü uni^phUmü mpdhp: Uju qhujpnLif iquiuinthuili]! ^шфир püqmp<imqi[nLif t T^-Jig 1, mjüujhu np r0-ü фпр-pmqntjü pürnpmüpmj^ü ^mrnnthmü^ Lmjüntp-jntüü t gnLjg rnmj^u, ^u^ 1-p nh^ntpu^mjnLÜ ühbmqntjü ^mrnnthmü^ ^шфup (püqhmüntp ptimpuitipli ^шфир): uljqplimljhuip ф^ри^шЬ t 0-nLÜ, mjü^hu np jnLpmpmü^jntp pürnpmüp^ i^hpglimljhuip (r2) hmi[mumpi[nLif t U шш-шш1и|пи1 t Гдфд 1: ADF i|]i¿ímljmqpnLp]nLlip pliuipmlipli huníuip, npp püljmb t 0-Jig r2, Ü2m-ümlp|nLií t ÀDF^'-'. SADF i[Ji¿ímljmqpnLp]nLlip umhifmlii[nLif t npujhu

SABFtrJ = sup Фпфп^^пц qmmnthmUn^ GSADF phurnp

GSADF phurnp 2шpnLÜшЦnLÜ t nh^ntpu^^ hqmüm^n^ ADF phurn^ nhqphu^mü urnntqh^ ш4jШLÜhp^ hüpmpürnpmüpühp^ ^pm: Pmjg hüpmpürnpmüpühpp, npnüp oqшmqnpЬ^nLÜ hü, 2шт rn^h^ püqmpÀmЦ hü, prnü SADF phurn^ dmümümЦ: Ршд^ nhqphu^шф ^hp2ÜmЦhшp' r2~p, фпфп|иЬщ Гдфд 1, GSADF phuuip pntj^t rnuqjiu ^ uljqplimljhuip фпфп|иЬ^ 0-Jig rs — GSADF ^^^mЦmqpnLpjnLÜp urnhUrnü^nLtf t, npujhu гг U гг pn^np hliuipunjnp ifJigmljmjph-p^ tfhbrnqnLjü ADF ^^^mЦmqpnLpjnLÜ U Ü2m-ürn^ntü t' GSAZFfa) = sup

SADF U GSADF qnpbpüprngühp^ ühpЦmjmgnL-üp qpmф^Цnphü

втс

Чршф^Ц 1. SADF qnpàphpiugji h bp Ljiujiugniiíp

dU^pmljgfi ¿шфц

rw • г, -r.

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Sl]ШL Ш2^шшшhpnLÜ oqmшqnp&lhL hh p^ppn^h^ (BTC) h p^ффlф (XRP) qhhpp 24-dшü]ш цшpphpшlшhnLp]шüp 2016p.-^ hnth-lшpф 1-^g ü^h¿h 2019p. фhmplшpф 16-p:

P^ppn^h^ h Гфффф 2шpphpnLÜ фт^ф^^ p^ шnlш]nLp]nLhp umrnqhint hшJшp lфpшn-lhL hh SADF h GSADF phumhpp:

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Cpшф¡ll 3. P¡ippn¡ih¡i qhhpfc qJlhшlí}llшh 2016 p^^hji hnLh^pJi JhljJig üjih^h 2019 pi¡iuljiutjl hnLÍll¡LUpJl 31

XRP

Ю Ш Ю (D

00 00 CO 00

N«S NNN«M(MNNfMr\l(MfM(M(M

fM (N fM

CpшфJll 4. Гфффф qhhpji q^^^h 2016 p^^hji hinh^pji üblJig üjih^h 2019 p-ш-Цшhft hmh^pji 31

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Uq]nLUшl 2-ntü ш^фпф-шь шhqhlшшlnL-pjnthp шш^фu t fc^um llшJnLpJnLh ш]h üшuфh, np pфффф q^hp hu ^p ühg щшpnl.hшlnLÜ t фnшgфnhшL ш^ф dшüшhшlшhшшlшЬhhp: b -

1 https://github.com/harutyun3172800/CryptoCurrencyData

SADF, U GSADF l^^^qpnLpjnLUUhpp дЬрш-qшUgnLtf hU ^phUg 1% ш^шЦпц^шЬ Цр^т^Цш-Цш1 шрдЬрЬЬрр:

Chшpшhpшфh lpfsflm^ml шpdhphhpp (BTC)

Test stat. 90% 95% 99%

SADF 7.55 1.28 1.62 2.06

GSADF 7.55 2.12 2.35 2.98

Пщптш^ 1. PJippuflf qlhpf hшlшp SADF h GSADF rf]i^faqpnLp-jnLhhhp]i шpâhphhpp h ßhmpuihpuijjih ^р^ю^ЩЩк шpâhpllhpp

Chшpшhpш]fh lpfsflm^ml шpdhphhpp (XRP)

Test stat. 90% 95% 99%

SADF 8.77 1.28 1.62 2.08

GSADF 9.82 2.12 2.35 2.98

ПгрптшЦ 2. Гффф. qhhpft hшlIшp SADF U GSADF ll]l¿íшЦшqpnLpJnLhhhp]l шpdhpllhpр U р1л1прш1лрш]1111 Цр}ип}1ЦшЦш11 шpdhpllhpр

IV I 2019

- Forward ADF sequence (left axis)

- 95% critical value sequence (left axis) BTC (right axis)

Ярршф]}^ 5. ФnL¿Jll¡hhpJl âшlшhшl|ш2p2шh-lihppp]ippn]ili]i qhhpp hшlíшp. SADFp-huin

GSADF test

II III IV I

2018 2019

- Backwards SADF sequence (left axis) 95% critical value sequence (left axis)

- BTC (right axis)

0pшф_f 6. ФnL¿fll}hhpJl âшlшhшl}ш2p2шh-lhpp pfippnfilfi qlhpfi hшlIшp. GSSADF phus

SADF test

3.0

- 2.5

- 2.0

- 1.5

- 1.0

- 0.5

- 0.0

II III IV

2017

- Forward ADF sequence (left axis) 95% critical value sequence (left axis) XRP (right axis)

0-pшф_fill 7. ФnL¿]llhhpJl âшlшhшl¡ш2P2шh-lhpp pfiifcifclfi qlhpji hшIшp. SADF phum

GSADF test

12 -8 -

II III IV I

2018 2019

- Backwards SADF sequence (left axis) 95% critical value sequence (left axis) XRP (right axis)

Я■pшфJll 8. ФnL¿Jll¡hhpJl âшlшhшl|ш2p2шhhhpp pfifufuJi qlhpf hшIшp. GSADF phum

Upq]nl.hphhpp gnLjg hl шшф^ np pfppnf-lf qlhpf 2шppnLI SADF phusp фт.^^ шп-1ш]пър]пъ1 t 2017 p^^lf

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2018 p^^lf lnjhlphp шIufg qh^shlphp шIfu dшIшhшlшhшm^ш&p:

^ффф qlhpf 2шppnLI SADF phusp фт-¿flf шпlш]nLp]nLh t 2017 p^^lf

Iшpш шIufg Iflh ш^^ шIfu, 2017 p^-^lf Iш]fu шIufg hnLlfu шIfu h 2017 p^-^lf qh^shlphp шIufg 2018 p^^lf hnLl-^p ш!^ dшIшhшlшhшш^шЬhhpnLI: GSADF phusp lfpшпhLnL цшpшqш]nLI usm-lnLl hlp SADF phusf Ifgngn^ uшшg^ш& шpqJnLhphhpfh hшIшhIшh шpq]nLhphhp:

2017

000

2017

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UpqjntUpUhpp gnLjg hU mm^u UmU, np p^ppn^U^ U p^^L^ qUhpntJ mjdJ mn^m ¿hU ^nmg^nUm]_ m^^ U^rnntUUhp, frU^p Jh^Umpm-Uh^ t qUhp^ Uhp^mj^u gm&p Jm^mpqm^ ^mpmqmjntJ:

^pm^mUntpjmh gmh^

1. A. Malhorta, M. Maloo, BITCOIN - Is it a Bubble? Evidence from unit root tests, Indian institute of technology, Bombay, 2014, p. 1-3

2. A. Hayes, Bitcoin price and its marginal cost of production: support for a fundamental value, Univers

ity of Wisconsin-Madison, Cyprus, 2018, p. 1-10

3. A.Hayes, Cryptocurrency Value Formation: An empirical study leading to a cost of production model for valuing Bitcoin, Telematics and Informatics. 2016, p. 1314-1321

4. Itamar Caspi, Rtadf: Testing for Bubbles with EViews, Bank of Israel, 2013, p. 5-13

5. Peter C.B. Phillips, Shu-Ping Shi, Jun Yu, Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in The S&P500, Yale University, 2013, p. 6-32

6. Peter C. B. Phillips, Yangru Wu and Jun Yu, Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values?, 2012, p. 207212

7. R. Shiller, Irrational Exuberance, Princeton, Princeton University Press, 2000, p. 135-142

8. S. Basu, R. Sreenivasan, T. Tang, Bitcoin -Bubble or Reality?, University of California, Santa Barbara, 2018, p. 73-74

9. https://www.wsj.com/articles/bitcoins-wild-ride-shows-the-truth-it-is-probably-worth-zero-

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