This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where attention to the stock market is measured by internet search queries related to the leading stock market index. We find a strong co-movement of the Dow Jones' realized volatility...

Cointegration has frequently been used in the financial econometrics literature to assess the degree of interdependence of financial markets. We show that if individual stock prices are generated by random walks with possibly contemporaneously correlated innovations, the resulting indices cannot...

We evaluate the usefulness of Google search volume to predict returns and volatility of multiple cryptocurrencies. The analysis is based on a new algorithm which allows to construct mulit-annual, consistent time series of Google search volume indices (SVIs) on various frequencies. As...

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...

Bitcoin is traded on exchanges which use an open limit order book. This paper investigates the microstructure of various bitcoin markets with respect to liquidity and private information processing. The markets are found to be fairly liquid, providing liquidity at a stable rate throughout the 24...

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...