Photo by traxer from unsplash
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… Click to show full abstract
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.
Keywords:
quantifying endogeneity;
endogeneity cryptocurrency;
finance;
cryptocurrency markets
Journal Title: European Journal of Finance
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: European Journal of Finance
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!