Kim, Kwansoo; Lee, Sang-Yong Tom; Assar, Saïd - In: Industrial Management & Data Systems 122 (2021) 2, pp. 365-395
Purpose: The authors examine cryptocurrency market behavior using a hidden Markov model (HMM). Under the assumption that the cryptocurrency market has unobserved heterogeneity, an HMM allows us to study (1) the extent to which cryptocurrency markets shift due to interactions with social...