The assistant professor of finance tested the Stock-to-Flow (S2F) model for Bitcoin to determine its viability and investigate whether investors can profit from an S2F-based trading strategy.
Thibaut Morillon, assistant professor of finance in the Martha and Spencer Love School of Business, co-authored the paper “Dissecting The Stock to Flow Model for Bitcoin,” which was published in Studies in Economics and Finance.
In the paper, Morillon and Ryan Chacon, University of Colorado – Colorado Springs, dive deep into the S2F (stock-to-flow) pricing model, which is popular among Bitcoin enthusiasts. The authors put the S2F model through a battery of tests to determine its viability and whether investors can profit from an S2F-based trading strategy.
“This paper produces a dynamic S2F model with no peek-ahead bias and shows evidence that prediction accuracy increases over time,” the authors wrote in the paper’s abstract. It also “demonstrates that a dynamic trading strategy that goes long (short) when Bitcoin is undervalued (overvalued) according to S2F is less profitable than a classic buy-and-hold strategy.”
Before embarking on his academic career, Morillon was a financial advisor at LCL Bank for over a year. After his time at LCL, he was a graduate assistant at Southeast Missouri State University for almost two years and completed his doctorate at the University of Missouri-Columbia.
Morillon joined Elon in 2019. His research interests include empirical corporate finance, mergers & acquisitions and cryptocurrencies.