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High-frequency jump analysis of the bitcoin market

Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...

Persistent link: https://www.econbiz.de/10011762219

Stylized facts, volatility dynamics and risk measures of cryptocurrencies

Bruzgė, Rasa; Černevičienė, Jurgita; … - In: Journal of business economics and management 24 (2023) 3, pp. 527-550

This study explores the stylized facts, volatility clustering, other highly irregular behaviour, and risk measures of cryptocurrencies' returns. By analysing bitcoin, ripple, and ethereum daily data we establish evidence of strong dependencies among analysed cryptocurrencies. This paper provides...

Persistent link: https://www.econbiz.de/10014420375

Liquidity Co-Movements and Volatility Regimes in Cryptocurrencies

Anciaux, Hubert; Desagre, Christophe; Nicaise, Nicolas; … - 2021

We find significant evidence of liquidity commonalities among cryptos, in particular when liquidity is estimated by … cryptocurrencies, we identify stronger liquidity co-movements in high volatility regimes across all cryptocurrencies and for all … liquidity proxies. The magnitude and pervasiveness of commonalities are weaker in the low volatility regime when liquidity is …

Persistent link: https://www.econbiz.de/10013250788

Trading volume and liquidity provision in cryptocurrency markets

Bianchi, Daniele; Babiak, Mykola; Dickerson, Alexander - 2022

We provide empirical evidence within the context of cryptocurrency markets that the returns from liquidity provision … liquidity provision are amplified in smaller, more volatile, and less liquid cryptocurrency pairs where fear of adverse … highlight the role of inventory risk and adverse selection for liquidity provision. …

Persistent link: https://www.econbiz.de/10013256971

The Volatility of Bitcoin

Urquhart, Andrew - 2017

This paper examines the volatility of Bitcoin as well as shedding light on the forecasting ability of GARCH models and HAR models in the Bitcoin market. We find no evidence of the leverage effect in Bitcoin and that the HAR models are superior in modelling Bitcoin volatility to traditional GARCH...

Persistent link: https://www.econbiz.de/10012962600

Bitcoin Flash Crash on May 19, 2021 : What did really happen on Binance?

Baumgartner, Tim; Güttler, André - 2022

Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that...

Persistent link: https://www.econbiz.de/10014238849

Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Baur, Dirk G. - 2017

There is a large literature that reports time-specific anomalies in equity markets such as the Monday effect, the January effect and the Halloween effect. This study is the first to report intra-day time-of-day, day-of-week, and month-of-year effects for Bitcoin returns and trading volume. Using...

Persistent link: https://www.econbiz.de/10012941302

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla - 2020

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...

Persistent link: https://www.econbiz.de/10012838218

Forecasting Bitcoin Volatility : Evidence from the Options Market

Hoang, Lai T. - 2020

This paper studies a large number of Bitcoin options traded on the options exchange Deribit. We use the trades to calculate implied volatility and analyze if volatility forecasts can be improved using such information. Implied volatility is less accurate than ARMA or HAR model forecasts in...

Persistent link: https://www.econbiz.de/10012839516

The Intraday Bitcoin Response to Tether Minting and Burning Events : Asymmetry, Investor Sentiment, and 'Whale Alerts' on Twitter

Saggu, Aman - 2022

Tether Limited has the sole authority to create (mint) and destroy (burn) Tether stablecoins (USD₮). This paper investigates Bitcoin's response to USD₮ supply change events between 2014 and 2021 and identifies an interesting asymmetry between Bitcoin's responses to USD₮ minting and burning...

Persistent link: https://www.econbiz.de/10013404593