Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 29/2019
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
International Financial Markets
- Thema
-
Hawkes process
endogeneity
branching ratio
maximum-likelihood estimation
cryptocurrencies
bitcoin
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mark, Michael
Sila, Jan
Weber, Thomas A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mark, Michael
- Sila, Jan
- Weber, Thomas A.
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2019
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