dimensions: price, volatility and liquidity. By comparing the Garman-Klass volatilities of bitcoin spot and futures prices with … those of different assets, we find that both the bitcoin spot and futures markets exhibit relatively high volatility … compared to other assets. When the ratio of trading volume over open interest is used to measure liquidity, the bitcoin futures …

volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable …By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market's expectation of future … correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks …

The aim of this paper is to study the integration of volatility in the three markets, viz. spot, futures and options … volatility in the options market is not associated with volatility in spot and futures market. However, volatility in spot and … moments (GMM) is used to capture the simultaneous equation modelling of volatility in the three markets. The integration of …

volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for … volatility parameter, models of the Gamma family and the Standard Levy are assumed. The results obtained using the proposed …

Metcalfe's law for Bitcoin is questionable. According to the bidirectional causality between the price and the network size …, the expected price increase is a driver for more investors to join the Bitcoin network, which may lead in the end to a …

weakly autocorrelated and confirmed the presence of long memory as well as short memory in the GARCH volatility, (4) used an …

dealers. Concerns that soaring options trading could spark incremental volatility of international agricultural commodity … options trading does not have a volatility increasing effect. …