The time between order submission and order confirmation is crucial for high frequency traders as they risk slippage when latency is too high. We hypothesize that high latency in cryptocurrency markets implies correlations well below one across exchanges at high frequencies. To evaluate this...

This paper analyzes if Bitcoin enhances investment portfolios both financially and in terms of lower carbon emissions. We show that the addition of Bitcoin to a diversified equity portfolio does improve the risk-return relationship of the portfolio but not its sustainability by reducing the...

Bitcoin is defined as digital money within a decentralized peer-to-peer payment network. It is a hybrid between fiat currency and commodity currency without intrinsic value and independent of any government or monetary authority. This paper analyses the question of whether Bitcoin is a medium of...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across different return frequencies and across quantiles and find a...

This study shows that changes in bitcoin exchange reserves are negatively related to contemporaneous and future bitcoin returns, consistent with the hypothesis that the transfer of bitcoin on exchanges implies increased price pressure and vice versa. We further identify an asymmetry between...

This paper analyzes high-frequency estimates of good and bad realized volatility of Bitcoin. We show that volatility asymmetry depends on the volatility regime and the forecast horizon. For one-day ahead forecasts, good volatility commands a stronger impact on future volatility than bad...