Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all markets trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is...

Purpose: Cryptocurrency markets are notoriously noisy, but not all markets might behave in the exact same way. Therefore, the aim of this paper is to investigate which one of the cryptocurrency markets contributes the most to the common volatility component inherent in the market....

The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us in particular to study the behavior of extreme quantiles associated...

We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...

We model the limit order book (LOB) as a continuous Markov process and develop an algebra to describe its dynamics based on the fundamental events of the book: order arrivals and cancellations. We show how all observables (prices, returns, and liquidity measures) are governed by the same...

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...

We examine the price discovery contributions of cryptocurrency exchanges in the presence of market microstructure noise. Cryptocurrency markets exhibit a decisively higher level of microstructure noise compared to the New York Stock Exchange or NASDAQ. Therefore, traditional measures of price...

Trading of Bitcoin is spread about multiple venues where buying and selling is offered in various currencies. However, all exchanges trade one common good and by the law of one price, the different prices should not deviate in the long run. In this context we are interested in which platform is...

Insider trading laws are designed to ensure a level-playing field and trust in financial markets at the expense of less efficient markets. This paper argues that insider trading laws fail to ensure a level-playing field and instead facilitate fraud and undermine trust and fairness. We use a...

We propose a regression-based algorithm that allows to construct arbitrarily many comparable, multi-annual, consistent time series on monthly, weekly, daily, hourly and minute-by-minute search volume indices based on the scattered data obtained from Google Trends. The accuracy of the algorithm...