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Evaluating Asset Bubbles within Cryptocurrencies using the LPPL Model

By Rafal Rokosz

The advent of blockchain technology has created a new asset class named cryptocurrencies that have experienced tremendous price appreciation leading to speculation that the asset class is experiencing an asset bubble. This paper examines the novelty and functionality of cryptocurrencies and potential factors that may lead to conclude the existence of an asset bubble. To empirically evaluate whether the asset class is experiencing an asset bubble the LPPL model is used. The LPPL model was able to successfully identify two of the four crashes within the data set signifying that cryptocurrencies are within an asset bubble.

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Advisors: Ed Tiryakian and Grace Kim | JEL Codes: G12, Z00, C60

Effect of Sentiment on Bitcoin Price Formation

By Brian Perry-Carrera

With the recent growth in the investment of cryptocurrencies, such as bitcoin, it has become increasingly relevant to understand what drives price formation. Given that investment in bitcoin is greatly determined by speculation, this paper seeks to find the econometric relationship between public sentiment and the price of bitcoin. After scraping over 500,000 tweets related to bitcoin, sentiment analysis was performed for each tweet and then aggregated for each day between December 1st, 2017 and December 31st, 2017. This study found that both gold futures and market volatility are negatively related to the price of bitcoin, while sentiment demonstrates a positive relationship.

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Advisor: Grace Kim | JEL Codes: G12, G41, Z00

Increased Foreign Revenue Shares in the United States Film Industry: 2000 – 2014

By Victoria Lim

The American film industry, which has historically been driven by the domestic market, now receives an increasing proportion of its revenue from abroad (foreign share)To determine the factors influencing this trend, this paper analyzed data from 11 countries of 2,337 American films released during 2000  2014Both film and country attributes were analyzed to determine each attribute’s effect on foreign share, whether its effect size has changed over time and whether each attribute has changed in frequency amongst films released. The results identified six attributes, star actors, sequels, releases in top markets, release time lag, GDP growth and a match in languagethat contributed to the increase in foreign share over this period

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Advisor: James Roberts, Kent Kimbrough | JEL Codes: F40, L82, Z11 | Tagged: Foreign Share, International Box Office Revenue, Motion Picture Industry

Optimal Ordering in Sequential English Auctions: A Revenue-Comparison Model for 18th Century Art Auctions in London and Paris

By Amaan Mitha

We develop a model based on several auction parameters to test the widely held notion that in a sequential English auction, it is optimal for the seller to arrange the lots in order of decreasing value. We test this model against two datasets of 18th century auctions, one of various auctions from Paris and the other from Christie’s sales in London. We find that the Paris data support the claim, while the Christie’s data seem to refute the optimal strategy. We also find a rationale for bidders in the Christie’s auctions to alter their strategies, accounting for the discrepancy.

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Advisor: Neil De Marchi | JEL Codes: D4, Z11 | Tagged: Auctions, English Auction, Lot Ordering, Optimal Auction Strategy, Sequential Auctions

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