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Quantifying endogeneity of cryptocurrency markets
Mark, Michael; Sila, Jan; Weber, Thomas A. - 2019
In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity …
Persistent link: https://www.econbiz.de/10012114920
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Quantifying endogeneity of cryptocurrency markets
Mark, Michael; Sila, Jan; Weber, Thomas A. - In: The European journal of finance 28 (2022) 7, pp. 784-799
Persistent link: https://www.econbiz.de/10013373337
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The explosion in cryptocurrencies: A black hole analogy
Ballis, Antonis; Drakos, Konstantinos - In: Financial Innovation 7 (2021) 1, pp. 1-8
can describe the explosive increase in the number of traded cryptocurrencies and the cryptocurrency market in general. In … number of traded cryptocurrencies and (2) in terms of increasing market capitalization for a given number of traded … cryptocurrencies. By analyzing weekly snapshot data of all traded cryptocurrencies from January 4, 2009, to June 14, 2020, we find …
Persistent link: https://www.econbiz.de/10012602890
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The explosion in cryptocurrencies : a black hole analogy
Ballis, Antonis; Drakos, Kōnstantinos - In: Financial innovation : FIN 7 (2021), pp. 1-8
can describe the explosive increase in the number of traded cryptocurrencies and the cryptocurrency market in general. In … number of traded cryptocurrencies and (2) in terms of increasing market capitalization for a given number of traded … cryptocurrencies. By analyzing weekly snapshot data of all traded cryptocurrencies from January 4, 2009, to June 14, 2020, we find …
Persistent link: https://www.econbiz.de/10012429243
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Apparent criticality and calibration issues in the Hawkes self-excited point process model : application to high-frequency financial data
Filimonov, Vladimir; Sornette, Didier - 2013
index'' n that quantifies the degree of endogeneity of how much past events trigger future events. We report the following …
Persistent link: https://www.econbiz.de/10010257507
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The impact of derivatives on spot markets : evidence from the introduction of bitcoin futures contracts
Augustin, Patrick; Rubtsov, Alexey; Shin, Donghwa - 2022 - This draft: June 30, 2022
Cryptocurrencies provide a unique opportunity to identify how derivatives impact spot markets. They are fully fungible …, trade across multiple spot exchanges at different prices, and futures contracts were selectively introduced on bitcoin (BTC … bitcoin spot market by making the underlying prices more informative. …
Persistent link: https://www.econbiz.de/10013332292
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Relative Investor Sentiment Measurement
Gao, Xiang; Koedijk, Kees; Walther, Thomas; Wang, Zhan - 2022
This paper proposes a new metric to gauge investor sentiment using a relative valuation method. We combine investor behavioral finance traits and option-implied standard deviations under both the real-world probability (P) valued most in the view of uninformed investors and the risk-neutral...
Persistent link: https://www.econbiz.de/10013406164
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Risk spillover during the COVID-19 global pandemic and portfolio management
Yousfi, Mohamed; Dhaoui, Abderrazak; Bouzgarrou, Houssam - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-29
This paper aims to examine the volatility spillover, diversification benefits, and hedge ratios between U.S. stock markets and different financial variables and commodities during the pre-COVID-19 and COVID-19 crisis, using daily data and multivariate GARCH models. Our results indicate that the...
Persistent link: https://www.econbiz.de/10012611779
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Nothing but Noise? Price Discovery between Cryptocurrency Exchanges
Dimpfl, Thomas - 2020
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...
Persistent link: https://www.econbiz.de/10012838198
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Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla - 2020
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...
Persistent link: https://www.econbiz.de/10012838218