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Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties
Yang, Steve Y. - 2015
the flow of Bitcoin transactions and its price movement. Using network theory, we examine a few complexity measures of the … market variables such as returns and volatility. We find that complexity of Bitcoin transaction network is significantly … correlated with Bitcoin market volatility. More specifically we document that the popularity of Bitcoin gauged from total system …
Persistent link: https://www.econbiz.de/10013019043
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Reducing transaction costs using intraday forecasts of limit order book slopes
Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021
Persistent link: https://www.econbiz.de/10012615644
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Dynamic asset allocation with event risk, transaction costs and predictable returns
Simonato, Jean-Guy - In: Mathematics and financial economics 12 (2018) 4, pp. 561-587
Persistent link: https://www.econbiz.de/10011963881
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Liquidity and short-run predictability : evidence from international stock markets
Park, Jin Suk; Newaz, Mohammad Khaleq - In: Global finance journal 50 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013365689
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A volatility-based single parameter Loss Given Default model
Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210
Persistent link: https://www.econbiz.de/10011306351
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An equilibrium model of institutional demand and asset prices
Koijen, Ralph S. J.; Yogo, Motohiro - 2015
Persistent link: https://www.econbiz.de/10011420916
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An equilibrium model of institutional demand and asset prices
Koijen, Ralph S. J.; Yogo, Motohiro - 2016 - Revised October 2016
Persistent link: https://www.econbiz.de/10011287126
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Alternative bankruptcy prediction models using option-pricing theory
Charitou, Andreas; Dionysiou, Dionysia; Lambertides, … - In: Journal of banking & finance 37 (2013) 7, pp. 2329-2341
Persistent link: https://www.econbiz.de/10009760656
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Why does higher variability of trading activity predict lower expected returns?
Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470
Persistent link: https://www.econbiz.de/10011544044
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Quantitative methods in economics and finance
Kliestik, Tomas (ed.); Valaskova, Katarina (ed.);  … - 2021
financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for …
Persistent link: https://www.econbiz.de/10012586709