Results 171 to 180 of about 38,177 (303)

Price Discovery and Efficiency in Uniswap Liquidity Pools

open access: yesJournal of Futures Markets, EarlyView.
ABSTRACT Using almost three years of minute‐level data, we show that the efficiency of Uniswap v3 is much improved relative to v2, and some v3 pools are approaching or even exceeding Bitstamp in terms of price discovery ability. Regression results suggest that the channels of influence for these improvements are an increase in informed liquidity ...
Carol Alexander   +3 more
wiley   +1 more source

Forecasting Digital Asset Return: An Application of Machine Learning Model

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT In this study, we aim to identify the machine learning model that can overcome the limitations of traditional statistical modelling techniques in forecasting Bitcoin prices. Also, we outline the necessary conditions that make the model suitable.
Vito Ciciretti   +4 more
wiley   +1 more source

Exchange Rate Risk and Deviations From Purchasing Power Parity

open access: yesInternational Journal of Finance &Economics, EarlyView.
ABSTRACT This paper proposes a new solution to the purchasing power parity (PPP) puzzles, arguing that investors' higher‐order risk attitudes, combined with higher‐order uncertainty about nominal exchange rates, as reflected by skewness and kurtosis, drive a risk premium that leads to deviations from PPP.
Michael G. Arghyrou   +2 more
wiley   +1 more source

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