This paper examines the performance of technical trading rules in Socially Responsible Investment (SRI) indices. Unlike previous studies, we separate technical trading rules into those that aim to trend-follow and those that employ mean-reversion. Using three popular FTSE4Good indices, we show...

This paper studies intraday time-series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in- and out-of-sample in most countries. Based on existing theories of...

This paper studies the volatility of Bitcoin and determines the importance of jumps and structural breaks in forecasting volatility. Using high-frequency data, we perform a model-free decomposition of realized variance into its continuous and discontinuous components, positive and negative...

This paper examines the stability of stablecoins through a fractional time series analysis. By using hourly data, we find strong evidence of instability of stablecoins, although these deviations from the $1 mark are gradually corrected at different speeds for all stablecoins except for DAI. For...

In this paper we analyze dynamic demand elasticity for Bitcoin and Ethereum in terms of price, transaction fees, and energy usage. We find that while both BTC and ETH have significantly positive price elasticities, transaction fee elasticity is negative and positive for BTC and ETH respectively,...

This paper explores and describes the plethora of historical on-chain transaction data recorded on the Bitcoin blockchain. We run clustering algorithms to identify different wallets and divide them into user categories - miners, exchanges, services, retail wallets and receiving-only addresses -...

This paper establishes a rigorous framework for sentiment analysis applications in finance. First, we present a thorough review of the latest academic literature, including both methodological advancements and findings. Second, we categorise and analyse the different sentiment analysis...

We examine the impact on firm cash holdings of uncertainty of uncertainty, measured as the ex post volatility of economic policy uncertainty. Using the news-based index developed by Baker, Bloom, and Davis (2016) for twenty-two countries, we find that, when there is greater volatility of...

In this paper, we forecast Bitcoin's returns and return jumps using a self-exciting process embedded in a stochastic volatility model. We show the existence of the jump clustering feature, which varies depending on the frequency of the data. In an out-of-sample setting, we use a particle filter...