Understanding temporal dynamics of jumps in cryptocurrency markets : evidence from tick-by-tick data
Danial Saef, Odett Nagy, Sergej Sizov, Wolfgang Karl Härdle
| Year of publication: |
2024
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| Authors: | Saef, Danial ; Nagy, Odett ; Sizov, Sergej ; Härdle, Wolfgang |
| Published in: |
Digital finance : smart data analytics, investment innovation, and financial technology. - [Cham] : Springer Nature Switzerland AG, ISSN 2524-6186, ZDB-ID 2947479-6. - Vol. 6.2024, 4, p. 605-638
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| Subject: | CRIX | Cryptocurrencies | High-frequency data | Jumps | Market microstructure noise | Option pricing | Marktmikrostruktur | Market microstructure | Virtuelle Währung | Virtual currency | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Finanzmarkt | Financial market | Noise Trading | Noise trading | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s42521-024-00116-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015177138