Showing 1 - 10 of 46
We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US...
Persistent link: https://www.econbiz.de/10012935265
With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...
Persistent link: https://www.econbiz.de/10012610983
We analyze statistical properties of the largest cryptocurrencies (determined by market capitalization), of which Bitcoin is the most prominent example. We characterize their exchange rates versus the U.S. Dollar by fitting parametric distributions to them. It is shown that returns are clearly...
Persistent link: https://www.econbiz.de/10011843290
With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency and their fits are assessed in terms of...
Persistent link: https://www.econbiz.de/10012946406
This paper studies a dynamic market microstructure model, in which a strategic market maker competes with an informed trader. We include the presence of noise traders and limit order traders in our setup. Our model is a N-period model. We give necessary and sufficient conditions for an...
Persistent link: https://www.econbiz.de/10012954503
Convolutional neural networks (CNN) and long short-term memory (LSTM) networks have become a staple of sequence learning. Due to the well-established fact that financial time series data exhibit exceptionally noisy characteristics, capital market anomalies are virtually impossible to detect. We...
Persistent link: https://www.econbiz.de/10012911800
Monte Carlo simulation methods for the valuation of financial instruments have become a staple of empirical economic analysis. A specific focus is dedicated to the feasibility of the stock price losses and barrier options as well as the sensitivity of partial time barrier options in dependence...
Persistent link: https://www.econbiz.de/10012916988
Momentum trading strategies are thoroughly described in the academic literature and used in many trading strategies by hedge funds, asset managers, and proprietary traders. Baz et al. (2015) describe a momentum strategy for different asset classes in great detail from a practitioner's point of...
Persistent link: https://www.econbiz.de/10012902040
Since the early beginning of investing as it was commonly seen as a form of gambling for the rich and wealthy, the idea of Harry Markowitz was revolutionising the way of thinking and how portfolios should be constructed. However, today the traditional mean-variance portfolios are still not fully...
Persistent link: https://www.econbiz.de/10013221414
Financial trading has been widely analyzed for decades with market participants and academics always looking for advanced methods to improve trading performance. Deep reinforcement learning (DRL), a recently reinvigorated method with significant success in multiple domains, still has to show its...
Persistent link: https://www.econbiz.de/10013221687