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between a simple momentum and mean reversion strategy depending on its relative profitability. Technical traders use the price …
Persistent link: https://www.econbiz.de/10011723700
deciles are 3.03% and 1.99%, respectively. The results are robust with respect to the differences in size, price, momentum …
Persistent link: https://www.econbiz.de/10012705414
We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision, proxied by the returns of a short-term reversal strategy, are primarily concentrated in trading pairs with lower levels of market activity. Empirically, we focus on a moderately...
Persistent link: https://www.econbiz.de/10013256971
cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among …
Persistent link: https://www.econbiz.de/10014420375
This paper aims at identifying a validated risk model for the cryptocurrency market. We propose a stochastic volatility model with co-jumps in return and volatility (SVCJ) to highlight the role of jumps in returns and volatility in affecting Value-at-Risk (VaR) and Expected Shortfall (ES) in...
Persistent link: https://www.econbiz.de/10012239256
Biondi et al. (2012) develop an analytical model to examine the emergent dynamic properties of share market price formation over time, capable to capture important stylized facts. These latter properties prove to be sensitive to regulatory regimes for fundamental information provision, as well...
Persistent link: https://www.econbiz.de/10013034712
Agent based models of financial markets follow different approaches and might be categorized according to major building blocks used. Such building blocks include agent design, agent evolution, and the price finding mechanism. The performance of agent based models in matching key features of...
Persistent link: https://www.econbiz.de/10011313556
This contribution addresses the impact of high-frequency electronic liquidity provision strategies on financial markets' intraday dynamics, by evaluating the interaction between multiple trading strategies within a computer laboratory, i.e. an artificial stock market. Initially, a realistic...
Persistent link: https://www.econbiz.de/10010531038
Following the definition of systemic risk by the Financial Stability Board, the International Monetary Fund and the Bank for International Settlements, this paper proposes a method able to simultaneously address the two dimensions in which this risk materializes: namely the cross-sectional and...
Persistent link: https://www.econbiz.de/10011775832
Using an agent-based model (ABM) with fundamentalists and chartists, prone to develop bubbles and crashes, we demonstrate the usefulness of direct market intervention by a policy maker, documenting strong performance in preventing bubbles and drawdowns and augmenting significantly the welfare of...
Persistent link: https://www.econbiz.de/10012271219