Quantifying endogeneity of cryptocurrency markets
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DOI: 10.1080/1351847x.2020.1791925
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… read more here.
Keywords: quantifying endogeneity; endogeneity cryptocurrency; finance; cryptocurrency markets ... See more keywords