We analyze whether design features of cryptocurrencies affect their return volatility. We compile a sample of 58 cryptocurrencies, adopt the taxonomy of design features proposed by Eska et al. (2023), and estimate LASSO regressions. We find that older cryptocurrencies tend to be less volatile...

We develop a model of limit order trading in which some traders have better information on future price volatility. As limit orders have option-like features, this information is valuable for limit order traders. We solve for informed and uninformed limit order traders' bidding strategies in...

This paper presents the most extensive analysis of liquidity in the German equity market so far. We examine the evolution of liquidity over time, the determinants of liquidity, and commonality across liquidity measures and countries. We make use of a new publicly available dataset, the Market...

Seit der Nahrungsmittelpreiskrise 2007/08 ist die Volatilität von Nahrungsmittelpreisen wieder als wichtiges Thema in der politischen Diskussion aufgetaucht. Nicht nur die Beobachtung eines steigenden Preisniveaus, sondern auch der scheinbare Anstieg der Volatilität auf Schlüsselmärkten (vor...

This paper re-examines two volatility-related patterns in the cross-section of stock option returns: the low-volatility effect and the expensiveness effect. Intermediary asset pricing theory suggests specific linkages between these effects. As our empirical results show, the low-volatility...

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...