Quantifying endogeneity of cryptocurrency markets

In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that allows for a parsimonious representation of endogenous-exogenous dynamics.

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Year of publication:	2019
Authors:	Mark, Michael ; Sila, Jan ; Weber, Thomas A.
Publisher:	Prague : Charles University in Prague, Institute of Economic Studies (IES)
Subject:	Hawkes process \| endogeneity \| branching ratio \| maximum-likelihood estimation \| cryptocurrencies \| bitcoin

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Series:	IES Working Paper ; 29/2019
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1680697668 [GVK] hdl:10419/228070 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; g58
Source:	EconStor

Persistent link: https://www.econbiz.de/10012389247