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Cryptocurrency reaction to FOMC Announcements : evidence of heterogeneity based on blockchain stack position
Corbet, Shaen; Larkin, Charles; Lucey, Brian M.; … - In: Journal of financial stability 46 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012391445
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Blockchain analytics for intraday financial risk modeling
Dixon, Matthew F.; Akcora, Cuneyt Gurcan; Gel, Yulia R.; … - In: Digital finance : smart data analytics, investment … 1 (2019) 1/4, pp. 67-89
Persistent link: https://www.econbiz.de/10012223863
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Do design features explain the volatility of cryptocurrencies?
Eska, Fabian E.; Shi, Yanghua; Theissen, Erik; … - In: Finance research letters 66 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10015061186
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Cyber attacks, spillovers and contagion in the cryptocurrency markets
Caporale, Guglielmo Maria; Kang, Woo-Young; Spagnolo, Fabio - 2020
This paper examines mean and volatility spillovers between three major cryptocurrencies (Bitcoin, Litecoin and Ethereum … (interdependence) among the three cryptocurrencies under investigation are found in most cases when cyber attacks are taken into …
Persistent link: https://www.econbiz.de/10012219891
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Time-frequency co-movement and risk connectedness among cryptocurrencies : new evidence from the higher-order moments before and during the COVID-19 pandemic
Cui, Jinxin; Maghyereh, Aktham I. - In: Financial innovation : FIN 8 (2022), pp. 1-56
cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains. We combine the realized moment … other cryptocurrencies is stronger than that of the realized skewness, realized kurtosis, and signed jump variation. The … comovements among cryptocurrencies are both time-dependent and frequency-dependent. Besides the volatility spillovers, the risk …
Persistent link: https://www.econbiz.de/10013413114
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Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene - 2013
The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...
Persistent link: https://www.econbiz.de/10013079007
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Understanding Cryptocurrencies
Härdle, Wolfgang Karl; Harvey, Campbell R.; Reule, … - 2018
Cryptocurrencies refer to a type of digital cash that use distributed ledger - or blockchain technology - to provide … central banks are considering launching their own version of national cryptocurrencies. In contrast to most data in nancial …
Persistent link: https://www.econbiz.de/10012433193
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Managing excess volatility: Design and effectiveness of circuit breakers
Clapham, Benjamin; Gomber, Peter; Haferkorn, Martin; … - 2017
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze volatility and liquidity around volatility interruptions implemented on the...
Persistent link: https://www.econbiz.de/10011793656
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Short Selling in Extreme Events
Geraci, Marco Valerio - 2019
We study the association between daily changes in short selling activity and financial stock prices during extreme events using TailCoR, a measure of tail correlation. For the largest European and US banks, as well as European insurers, we uncover a strong relation during exceptional (extreme)...
Persistent link: https://www.econbiz.de/10012902947
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An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
McGhee, William A - 2018
In this article, the Universal Approximation Theorem of Artificial Neural Networks (ANNs) is applied to the SABR stochastic volatility model in order to construct highly efficient representations. Initially, the SABR approximation of Hagan et al. [2002] is considered, then a more accurate...
Persistent link: https://www.econbiz.de/10012907596