This paper identifies several stylised facts relating to the volatility and price discovery process from eight cryptocurrencies utilising an empirical analysis of intra-day trading data to uncover four main results. First, cryptocurrencies exhibit weekend-volatility effects while intra-day...

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules produce significant payoffs in...

Despite continued advances in the state of the art, stress tests predict failure less often than would seem reasonable. This paper argues that even if a stress test produces a good estimate for aggregate losses, failing to account for unevenness of losses could easily lead to an under-estimate...

Early analysis of Bitcoin concluded that it did not meet the economic conditions to be classified as a currency. Since this analysis interest in bitcoin has increased substantially. We investigate whether the introduction of futures trading in bitcoin is able to resolve the issues that stopped...

This paper considers liquidity as an explanation for the positive association between expected idiosyncratic volatility (IV) and expected stock returns. Liquidity costs may affect the stock returns, through bid-ask bounce and other microstructure-induced noise, which will affect the estimation...