Cryptocurrency: Not far from equilibrium

Eojin Yi, Kwangwon Ahn, M. Y. Choi

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


The rapid growth and expanding applications of cryptocurrencies are the main factors that have led them to be considered potential assets to investment portfolios. However, the fierce ups-and-downs that Bitcoins have experienced recently, coupled with the extreme volatility in the Bitcoin prices, have cast doubts on the eligibility of cryptocurrencies to be classified as assets. To investigate the characteristics of cryptocurrencies, this study compares Bitcoin, one of the most popular cryptocurrencies, with other major investment assets. Our analysis focuses on the efficient market hypothesis measured by the Hurst exponent, together with long-term market equilibrium measured by Shannon entropy. The findings suggest that although the Bitcoin market is less efficient than other markets, it is not significantly different from the other markets in terms of its long-term market equilibrium. To elucidate these properties, we probe the Fokker–Planck and Schrödinger equations and derive a probability density function, considering the speed of mean reversion and dispersion.

Original languageEnglish
Article number121424
JournalTechnological Forecasting and Social Change
Publication statusPublished - 2022 Apr

Bibliographical note

Funding Information:
K. Ahn was supported by the Technology Innovation Program ATC+ (20014125, Development of Intelligent Management Solution for Nuclear Decommissioning Site Characterization) funded by the Ministry of Trade, Industry & Energy (MOTIE, Republic of Korea). M.Y. Choi was supported by the National Research Foundation of Korea through the Basic Science Research Program (Grant No. 2019R1F1A1046285).

Publisher Copyright:
© 2021 Elsevier Inc.

All Science Journal Classification (ASJC) codes

  • Business and International Management
  • Applied Psychology
  • Management of Technology and Innovation


Dive into the research topics of 'Cryptocurrency: Not far from equilibrium'. Together they form a unique fingerprint.

Cite this