自比特幣誕生以來價格經歷多次暴起暴落，未能在泡沫崩壞前離場的投資人往往損失慘重。本研究以PSY法對比特幣價格進行泡沫化檢測，並以價格進入破沫化區間時以最佳停步法決定賣出時機。結果發現PSY確實能進行比特幣泡沫化檢測，且進入泡沫區間後，最佳停步法策略獲利比進入即賣的策略為優。

After Bitcoin launched, its price crossed several bubble periods. Some unlucky investors suffered huge loss because they didn’t sell their cryptocurrency before the bubble collapse. In this study, we apply the PSY method to identify the bubble period and recruit secretary problem to optimize the sell timing after the bubble started. Our result suggests PSY method can detect the bubble of Bitcoin price and optimal stopping rule dominates the enter-then-sell strategy.

1. 研究動機與簡介 1
2. 虛擬貨幣介紹 2
2.1. 一級市場 3
2.1.1. 首次代幣發行 3
2.1.2. 首次分叉發行 7
2.2. 二級市場 8
2.3. 套利模式與影響價格因子 10
2.3.1. 套利模式 10
2.3.2. 影響比特幣價格的因子 11
2.4. 比特幣與區塊鏈技術 12
3. 比特幣價格崩盤預警 14
3.1. 資產泡沫 14
3.2. 文獻回顧 15
3.3. 研究資料與方法 18
4. 結果與討論 18
4.1. 2010年7月至2016年12月之泡沫分析 18
4.2. 2016年11 月至2018年2月之泡沫分析 20
4.3. 利用泡沫偵測的交易策略比較 22
4.4. 結論與後續研究 28
5. 參考文獻 28

1. 張淑勤(2005)《低地國（荷比盧）史》, 三民書局
2. Alex de Vries. (May 2018), Bitcoin’s growing energy problem. Joule, 2(5):801–805.
3. Barberis, N., Shleifer, A., Vishny, R. (1998), A model of investor sentiment. Journal of Financial Economics 49, 307-343.
4. Blanchard, O. J., Watson M. W. (1982), Bubbles, rational expectations, and financial markets, in Crisis in the economics financial structure, ed. by P. Wachtel, pp. 295-315. Lexington Books, Lexington, Mass
5. Cormen T. H., Leiserson C. E., Rivest R. L., and Stein C., (2001) Introduction to Algorithms. MIT Press, Cambridge, MA, 2nd edition.
6. Diba B T, Grossman H I., (1988) Explosive Rational Bubbles in Stock Prices? Journal of American Economic Review, 78(3),520-530
7. Evans, G. (1991), Pitfalls in testing for explosive bubbles in asset prices. American Economic Review 81(4), 922–930.
8. Flood ,M. R. (1958), Martin Gardner papers at Stanford University Archives, series 1, box 5, folder 19.
9. Gurkaynak, Refet S., (2005), Econometric tests of asset price bubbles: taking stock, Finance and Economics Discussion Series, Federal Reserve Board.
10. Haber, S. and Stornetta, W. S. (1991), How to time-stamp a digital document. Journal of Cryptology. 3 (2), 99-111.
11. Kindleberger, C. P. (2000), Manias, panics and crashes. 4th edition, New York: John Wiley & Sons, Inc.
12. Kristoufek, L. (2015) What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis. PLoS ONE 10(4): e0123923. https://doi.org/10.1371/journal.pone.0123923f
13. Nakamoto, S. (2008), Bitcoin: A Peer-to-Peer Electronic Cash System. https://bitcoin.org/bitcoin.pdf
14. Phillips, P.C.B., Shi, S., and Yu, J.,(2015) Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review 56, 1043-1078
15. Phillips, P. C. B. and Shi, S., Real Time Monitoring of Asset Markets: Bubbles and Crises (2018). Cowles Foundation Discussion Paper No. 2152.
16. Phillips, P.C.B., Wu, Y., and Yu, J., (2011), Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 52, 201-226.
17. Tirole, J. (1982), On the Possibility of Speculation under Rational Expectations, Econometrica, 50, 1163-1182.