Results 21 to 30 of about 3,126,053 (251)
Is There Any Witching in the Cryptocurrency Market? [PDF]
Journal of Risk and Financial Management, 2022 This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann–Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and the trading simulation approach) to daily and weekly ...
Alex Plastun +2 more
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Competition in the Cryptocurrency Market [PDF]
SSRN Electronic Journal, 2014 Les auteurs analysent l’incidence des effets de réseau sur la concurrence au sein du jeune marché des cryptomonnaies. Pour ce faire, ils examinent l’évolution des taux de change entre les cryptomonnaies au fil du temps. Plus particulièrement, ils étudient : 1) la concurrence entre diverses cryptomonnaies et 2) la concurrence entre les plateformes où ...
Gandal, Neil, Halaburda, Hanna
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Cryptocurrency volatility markets [PDF]
Digital Finance, 2020 AbstractBy computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities.
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Pairs Trading in Cryptocurrency Markets [PDF]
IEEE Access, 2020 Pairs trading is a strategy based on exploiting mean reversion in prices of securities. Even though these strategies have been shown to perform well for equities, their performance is unknown for the field of cryptocurrencies, usually perceived as inefficient and predictable.
Miroslav Fil, Ladislav Kristoufek
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Statistical Arbitrage in Cryptocurrency Markets [PDF]
Journal of Risk and Financial Management, 2019 Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013); Moritz and Zimmermann (2014); Krauss et al. (2017).
Fischer, Thomas Günter +2 more
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Cryptocurrency Competition and Market Concentration in the Presence of Network Effects
Ledger, 2021 When network products and services become more valuable as their userbase grows (network effects), this tendency can become a major determinant of how they compete with each other in the market and how the market is structured.
Konstantinos Stylianou +3 more
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International Journal of Financial Studies, 2023 Due to the volatility of the markets and the ongoing crises (COVID-19, the Ukrainian war, etc.), investors are keen to exploit any potential chances to make profits.
Damianos P. Sakas +3 more
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A Network Analysis of the Cryptocurrency Market [PDF]
2020 IEEE Symposium Series on Computational Intelligence (SSCI), 2020 In this study, we conduct a network analysis with centrality measures, using historical daily close prices of top 120 cryptocurrencies between 2013 and 2020, to study and understand the dynamic evolution and characteristics of the cryptocurrency market.
Ho, Kin-Hon, Chiu, Wai-Han, Li, Chin
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Herding and feedback trading in cryptocurrency markets [PDF]
Annals of Operations Research, 2021 This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies. Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors utilize across ...
Timothy King, Dimitrios Koutmos
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Day of the Week Effect dan Volatilitas Cryptocurrency Pada Masa Pandemi Covid-19
AFRE (Accounting and Financial Review), 2021 The cryptocurrency market is a market that attracts researchers and investors because it is open every day. This can be seen by the anomalies that occur in the cryptocurrency market. This research uses cryptocurrencies with the largest market cap in 2020,
Robiyanto Robiyanto +1 more
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