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2,329 results · page 41 of 98
Ata Assaf, Ender Demir, Oğuz Ersan
No abstract is available for this record.
Leyi Zhang
Quantitative trading plays a pivotal role in financial markets. Over the past decade, quantitative trading has made remarkable improvements. Due to instability and nonlinearity in financial markets, it is still challenging to formulate high-return trading strategies to address the problem of long-t
Ke Xu, Yu‐Lun Chen, Bo Liu, Jian Chen
Abstract Price discovery studies of a single asset traded in multiple markets have traditionally focused on assessing the relative price discovery contribution of each market. However, in this paper, we demonstrate that the overall price discovery across all markets can undergo changes even when the relative price discovery of each market remains constant. We propose that this overall change in price discovery can be effectively captured by the fractional parameter in the fractionally cointegrated vector autoregressive (FCVAR) model. In contrast, the widely used cointegrated vector autoregressive (CVAR) model fails to account for this dynamic in overall price discovery. Through a combination of simulation exercises and empirical applications, we show that the FCVAR approach outperforms the CVAR model not only in evaluating the relative price discovery contributions but also, more importantly, in providing a comprehensive measurement of overall price discovery.
Jasmeen Kaur Chahal, N. K. Bhatia, Gurpreet Singh, Vidhyotma Gandhi · 5 authors
No abstract is available for this record.
Zhanyi Ren
This study will investigate the liquidity spillover effects of five cryptocurrencies: Bitcoin, Ether, Binance-coin, Ripple, and Tether. Firstly, the researcher utilizes the Amihud illiquidity ratio to quantify the liquidity performance of the five currencies, which we treat as weekly for the purposes of our study due to data collecting constraints. Secondly, to quantify the liquidity spillover effect in the cryptocurrency market over the period of 2017-2022, the researcher employs Diebold and Yilmaz's spillover index. The results identify the senders and receivers of liquidity spillovers on an individual and pairwise basis for the five major currencies and demonstrate the presence of time variation. Additionally, this paper evaluates the news report-based cryptocurrency uncertainty index (UCRY). This includes the price of cryptocurrencies (UCRY price) and the uncertainty surrounding cryptocurrency policy (UCRY policy). Considering the constructed index follows the same path as the largest cryptocurrency, Bitcoin, it is therefore recommended that the Bitcoin price can be used to forecast the cryptocurrency uncertainty index. Overall, this study has filled a gap in the literature by conducting research on liquidity spillovers in cryptocurrency markets, and it presents some preliminary conclusions. However, in order to verify the validity of our findings and to provide more meaningful results, additional research is required over a longer time horizon and with additional cryptocurrency types.
Blanka Łęt, Konrad Sobański, Wojciech Świder, Katarzyna Włosik
No abstract is available for this record.
Rareş Chelmuş, Daniela Gîfu, Adrian Iftene
No abstract is available for this record.
Mehmet Canayaz, Charles Cao, Giang Nguyen, Qiang Wang
No abstract is available for this record.
Ningning Pan, Chuanhai Zhang, Qingqing Chen, Xiang Gao
This paper examines the impact of Bitcoin futures introduction on the crash risk of spot Bitcoin prices. Using both time-series regression with a time dummy and a difference-in-differences (DID) framework, we find that crash risk, proxied by the negative conditional skewness (NCSKEW) and down-to-up volatility (DUVOL) of 5-minute intraday Bitcoin returns, declines significantly after the launch of Bitcoin futures. Robustness checks confirm that the findings are robust to changes in control variables, control cryptocurrencies, the sampling frequency for high-frequency returns, and an extended post-introduction period. Furthermore, we explore the moderating roles of market liquidity and investor attention. The crash-mitigating effect of Bitcoin futures is significantly more pronounced in periods of low liquidity and limited investor attention, suggesting that futures markets play a stronger role in enhancing information efficiency under such conditions.HighlightsThis paper examines whether Bitcoin futures introduction increases or decreases Bitcoin price crash risk.The price crash risk of Bitcoin, measured by NCSKEW and DUVOL from high-frequency intraday data, decreases significantly after futures introduction.The main findings are robust to changes in control variables, control cryptocurrencies, the sampling frequency for high-frequency returns, and an extended post-introduction period.The crash-mitigating effect is more pronounced in periods of low liquidity and limited investor attention.
José Parra-Moyano, Daniel Partida, Moritz Gessl
Research suggests that a significant number of those investing in cryptocurrencies do not follow what we might call rational, profit-maximizing behavior. We also know that with the progressive lowering of entry barriers to online trading platforms, an increasing number of inexperienced investors are investing in cryptocurrencies. Increasingly, the behavior of investors contradicts the predictions made by traditional financial models and challenges the assumptions on which such models have previously relied when anticipating returns on cryptocurrency investments. To overcome this issue we develop a random forest model which we train with features stemming from a sentiment analysis performed on data generated by cryptocurrency enthusiasts using Twitter, Google Trends, and Reddit. Our findings show that such features have an important role to play in capturing the behavior of cryptocurrency investors and increase our model’s ability to anticipate regime changes in the cryptocurrency market. Our model outperforms the predictive ability of the Log-Periodic Power Law model—currently, the model most widely-used to predict regime changes in financial markets. These results imply that scholars and practitioners aiming to understand and predict the development of cryptocurrency markets stand to benefit from analyzing social media data generated by cryptocurrency enthusiasts.
Prodromos E. Tsinaslanidis, Francisco Guijarro
No abstract is available for this record.
Junyi Hu, Anthony Lee Zhang
No abstract is available for this record.
Almir Alihodžić
The main goal of this research is to evaluate the returns and risks of the following types of assets: Bitcoin, EUR Stoxx 50, gold, bonds: government bonds ICE Bof A 1-10 Year excluding Italy and Greece and the corporate bond index ICEB of A 1-10 Year AA. The paper tested a total of ten portfolios according to different scenarios for digital and financial assets. Also, in the paper, greater measures of risk and return were calculated with the aim of forming an optimal portfolio with minimal risk. The results of this research revealed that the correlation between Bitcoin and other forms of financial assets is generally low and negative, which can be a good instrument for portfolio diversification, and positively affect portfolio performance. Also, the results of this study showed that in terms of volatility and return measure of a total of ten portfolios, the second portfolio (whose structure consists of Bitcoin, Euro Stoxx 50, gold, government bonds ICE Bof A 1-10 Year - excluding Italy and Greece and the corporate index bond ICEBof A 1-10 Year AA) is the most optimal portfolio. The findings of this research can serve in risk and loss assessments of portfolio managers, investors, and regulators.
Wang Chun Wei, Dimitrios Koutmos
No abstract is available for this record.
Mohammadhossein Lashkaripour
No abstract is available for this record.
Kassi Assamoi, Adelphe Ekponon, Zihan Guo
No abstract is available for this record.
Viviane de Senna, Adriano Mendonça Souza
ABSTRACT Cryptocurrencies are assets with transactions managed by new methods compared to traditional transactions mediated by Stock Exchanges. The insertion of these assets can change the economic system. The objective of the study is to analyze a set of articles published in international databases of scientific content on cryptocurrencies and the relations with the Stock Exchanges to understand the evolution of the theme over time. The consultation was carried out in the Scopus and Web of Science databases, where 196 articles were analyzed, these indicated learning algorithms, electronic trading, financial and digital markets thematic evolution. The main studies focused on investigating the behavior of cryptocurrencies in the face of market variables, cryptocurrencies as a safe haven or diversification, analysis of prices and the impact of emotional value on cryptocurrencies. The most relevant articles, the citations and co-citations network of these, provided insights into not yet known literature, such authors are Baur et al., 2018; Ji et al., 2020; Peng et al., 2018; Symitsi & Chalvatzis, 2019; Urquhart, 2017.
Niek Deprez, Michael Frömmel
No abstract is available for this record.
Ivan Sedliačik, Michal Ištok
No abstract is available for this record.
G H Gouri, Vineetha Das
No abstract is available for this record.
Sita Kedvarin, Kanis Saengchote
No abstract is available for this record.
Ilias Filippou, My T. Nguyen, Ganesh Viswanath-Natraj
No abstract is available for this record.
Kristof Lommers, Jack Kim, Mohamed Baioumy
No abstract is available for this record.
Erdinç Akyıldırım, Ahmet Faruk Aysan, Oğuzhan Çepni, Shaen Corbet
No abstract is available for this record.