We study the value of trading volume in cryptocurrency markets and contribute to a growing literature that aims to understand the role of cryptocurrencies as investment. The main results show that the interaction between lagged volume and past returns have a significant predicting power for future returns. Such predictive power is economically significant; an investment strategy that conditions on past returns and volume generates a substantial Sharpe ratio with zero correlation with Bitcoin and Ethereum dollar returns. These results are consistent with existing theoretical models that postulate that is primarily "speculation" on private information that generates the observed returns dynamics.
{"title":"Trading Volume in Cryptocurrency Markets","authors":"Daniele Bianchi, Alexander Dickerson","doi":"10.2139/ssrn.3239670","DOIUrl":"https://doi.org/10.2139/ssrn.3239670","url":null,"abstract":"We study the value of trading volume in cryptocurrency markets and contribute to a growing literature that aims to understand the role of cryptocurrencies as investment. The main results show that the interaction between lagged volume and past returns have a significant predicting power for future returns. Such predictive power is economically significant; an investment strategy that conditions on past returns and volume generates a substantial Sharpe ratio with zero correlation with Bitcoin and Ethereum dollar returns. These results are consistent with existing theoretical models that postulate that is primarily \"speculation\" on private information that generates the observed returns dynamics.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130182588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper provides a systematic review of the literature on key matters related to the popular cryptocurrency Bitcoin. The key motivation of this paper is to provide a review of existing literature and also to understand the underlying principle of this digital currency from the economic and finance point of view. For the survey to be comprehensive, the paper is categorized in varied themes: Price Dynamics, Volatility, and Bubble Dynamics, Mode of recognition in the financial market, Efficiency, and economics, social media and investor sentiment and lastly regulation and legality.
{"title":"Bitcoin in the Literature of Economics and Finance: A Survey","authors":"P. Kayal, Purnima Rohilla","doi":"10.2139/ssrn.3441652","DOIUrl":"https://doi.org/10.2139/ssrn.3441652","url":null,"abstract":"This paper provides a systematic review of the literature on key matters related to the popular cryptocurrency Bitcoin. The key motivation of this paper is to provide a review of existing literature and also to understand the underlying principle of this digital currency from the economic and finance point of view. For the survey to be comprehensive, the paper is categorized in varied themes: Price Dynamics, Volatility, and Bubble Dynamics, Mode of recognition in the financial market, Efficiency, and economics, social media and investor sentiment and lastly regulation and legality.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125120486","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
After the seminal work of Liu et al. (2015) finds that the realized volatility (RV) using 5-minute intervals performs well, economists tend to use this simple measure in applications. Existing literature in the cryptocurrency already relies on 5-minute RV, but no paper has evaluated whether 5-minute RV performs well compared with other realized measures. Following Liu et al. (2015), we show that the 5-minute RV of Bitcoin performs well compared to other realized measures, meaning that this result justifies the existing literature that already uses this simple measure. This paper also indicates that realized measures with longer intervals such as 120-minute RV could provide inaccurate estimates.
Liu et al.(2015)的开创性工作发现使用5分钟间隔的实现波动率(RV)表现良好后，经济学家倾向于在应用中使用这种简单的度量。加密货币的现有文献已经依赖于5分钟RV，但没有论文评估5分钟RV与其他已实现的措施相比是否表现良好。继Liu et al.(2015)之后，我们表明比特币的5分钟RV与其他实现的度量相比表现良好，这意味着这一结果证明了已经使用这种简单度量的现有文献是正确的。本文还指出，采用较长间隔(如120分钟RV)实现的度量可能提供不准确的估计。
{"title":"Does 5-Minute RV Outperform Other Realized Measures in the Cryptocurrency Market?","authors":"Takahiro Hattori","doi":"10.2139/ssrn.3416106","DOIUrl":"https://doi.org/10.2139/ssrn.3416106","url":null,"abstract":"After the seminal work of Liu et al. (2015) finds that the realized volatility (RV) using 5-minute intervals performs well, economists tend to use this simple measure in applications. Existing literature in the cryptocurrency already relies on 5-minute RV, but no paper has evaluated whether 5-minute RV performs well compared with other realized measures. Following Liu et al. (2015), we show that the 5-minute RV of Bitcoin performs well compared to other realized measures, meaning that this result justifies the existing literature that already uses this simple measure. This paper also indicates that realized measures with longer intervals such as 120-minute RV could provide inaccurate estimates.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"11 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123308900","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a unified econometric strategy to revisit the informational content of interest rates differentials (IRD) for predicting exchange rates. The novelty of our approach consists in allowing for a time-varying asymmetry component in the conditional distribution of the depreciation rate, therefore explicitly modeling the link between interest rates and the likelihood of a depreciation. To assess the economic significance of IRD as a predictor, we derive a directional forecasting procedure from our model and apply this technique to daily exchange rates of the Euro and the Swiss Franc. We document in-sample and out-of-sample performances significantly superior to benchmark models, both in terms of sign forecasts and trading profits. Overall, we find the dynamic asymmetry component to be driven by interest rate differentials, but also by general uncertainty and past unexpected shocks. These findings empirically confirm currency crash theories for recent time periods, suggesting that the larger the difference between interest rates, the more likely the high yield currency appreciates but also exhibit larger depreciation risks.
{"title":"Interest rate differentials and the dynamic asymmetry of exchange rates","authors":"J. Hambuckers, M. Ulm","doi":"10.2139/ssrn.3541862","DOIUrl":"https://doi.org/10.2139/ssrn.3541862","url":null,"abstract":"We propose a unified econometric strategy to revisit the informational content of interest rates differentials (IRD) for predicting exchange rates. The novelty of our approach consists in allowing for a time-varying asymmetry component in the conditional distribution of the depreciation rate, therefore explicitly modeling the link between interest rates and the likelihood of a depreciation. To assess the economic significance of IRD as a predictor, we derive a directional forecasting procedure from our model and apply this technique to daily exchange rates of the Euro and the Swiss Franc. We document in-sample and out-of-sample performances significantly superior to benchmark models, both in terms of sign forecasts and trading profits. Overall, we find the dynamic asymmetry component to be driven by interest rate differentials, but also by general uncertainty and past unexpected shocks. These findings empirically confirm currency crash theories for recent time periods, suggesting that the larger the difference between interest rates, the more likely the high yield currency appreciates but also exhibit larger depreciation risks.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116600722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This letter analyzes the dynamic of cryptocurrency prices through the lens of behavioral economics. Cryptocurrency market participants seem to behave irrationally. We provide evidence of the presence of significant small price bias for the cryptocurrency market, consistent with the hypothesis that investors react to the news differently according to the price-level. We find that low-priced cryptocurrencies are much more volatile than their high-priced counterparts.
{"title":"The Psychology of Cryptocurrency Prices","authors":"A. Aloosh, Samuel Ouzan","doi":"10.2139/ssrn.3302680","DOIUrl":"https://doi.org/10.2139/ssrn.3302680","url":null,"abstract":"Abstract This letter analyzes the dynamic of cryptocurrency prices through the lens of behavioral economics. Cryptocurrency market participants seem to behave irrationally. We provide evidence of the presence of significant small price bias for the cryptocurrency market, consistent with the hypothesis that investors react to the news differently according to the price-level. We find that low-priced cryptocurrencies are much more volatile than their high-priced counterparts.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124129279","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Bitcoin is a distributed system. The dilemma it poses to the legal systems is that it is hardly possible to regulate a distributed network in a centralized fashion, as decentralized cryptocurrencies are antithetical to the existing centralized structure of monetary and financial regulation. This article proposes a more nuanced policy recommendation for regulatory intervention in the cryptocurrency ecosystem, which relies on a decentralized regulatory architecture built upon the existing regulatory infrastructure and makes use of the existing and emerging middlemen. It argues that instead of regulating the technology or the cryptocurrencies at the code or protocol layer, the regulation should target their use-cases. Such a regulatory strategy can be implemented through directing the edicts of regulation towards the middlemen and can be enforced by the existing financial market participants and traditional gatekeepers such as banks, payment service providers and exchanges, as well as large and centralized node operators and miners.
{"title":"How to Regulate Bitcoin? Decentralized Regulation for a Decentralized Cryptocurrency","authors":"Hossein Nabilou","doi":"10.2139/ssrn.3360319","DOIUrl":"https://doi.org/10.2139/ssrn.3360319","url":null,"abstract":"\u0000 Bitcoin is a distributed system. The dilemma it poses to the legal systems is that it is hardly possible to regulate a distributed network in a centralized fashion, as decentralized cryptocurrencies are antithetical to the existing centralized structure of monetary and financial regulation. This article proposes a more nuanced policy recommendation for regulatory intervention in the cryptocurrency ecosystem, which relies on a decentralized regulatory architecture built upon the existing regulatory infrastructure and makes use of the existing and emerging middlemen. It argues that instead of regulating the technology or the cryptocurrencies at the code or protocol layer, the regulation should target their use-cases. Such a regulatory strategy can be implemented through directing the edicts of regulation towards the middlemen and can be enforced by the existing financial market participants and traditional gatekeepers such as banks, payment service providers and exchanges, as well as large and centralized node operators and miners.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125956221","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A. Bozhechkova, Elizaveta Dobronravova, Diana Petrova, Pavel Trunin
Russian Abstract: Данная работа посвящена изучению факторов и механизмов поддержания конкурентоспособности национальных экономики в условиях укрепления валютного курса. В первой части работы представлены основные теоретические подходы к моделированию международной конкурентоспособности, включая модели международной торговли, эндогенные модели экономического роста, а также ряд микроэкономических моделей с несовершенной конкуренцией, на основе которых выявлены ключевые факторы и механизмы поддержания международной конкурентоспособности. Во второй части исследования представлены результаты эмпирических расчетов с использованием системного обобщенного метода моментов и propensity score matching, посвященных оценке степени воздействия укрепления национальной валюты в реальном выражении на темпы экономического роста, динамику совокупной факторной производительности и степень диверсификации экспорта для различных групп стран, включая страны СНГ, страны экспортеры сырья, развивающиеся страны, таргетирующие инфляцию в период 1990-2017 гг. English Abstract: In this paper we study the factors and mechanisms of maintaining the national competitiveness in the context of exchange rate appreciation. In the first section we present the main theoretical approaches to modeling international competitiveness, including international trade models, endogenous models of economic growth, as well as a number of microeconomic models with imperfect competition. In the second section we use the system generalized method of moments and propensity score matching to assess the impact of real currency appreciation on economic growth, the dynamics of total factor productivity and the degree of export diversification for various groups of countries, including CIS countries, commodity exporting countries, inflation targeting developing countries in the period 1990-2017.
俄罗斯Abstract:这篇论文致力于研究在汇率升值的情况下保持国家经济竞争力的因素和机制。工作的第一部分介绍了国际竞争力建模的基本理论方法，包括国际贸易模型、内源性增长模型以及一系列不完美竞争的微观经济模型，这些模型揭示了维持国际竞争力的关键因素和机制。第二部分介绍实证研究计算使用系统性泛化的时刻和propensity score匹配方法评估加强本国货币的实际影响程度,总要素生产率和动态的经济增长率为不同国家集团,包括国家出口多样化程度原材料出口国独联体国家、发展中国家1990年至2017年期间的通货膨胀目标:在这张纸上，我们是工厂和机器的主要竞争对手。在我们的第一阶段，我们主要的国际竞争模型，inclugenous模型，经济增长，这是一个小模型与不朽的数字。In the second we use the system下载generalized method of时刻and propensity score匹配to assess the impact of real上述一揽子appreciation on economic》、the dynamics of total factor productivity and the聚合of export diversification for《groups of国家,including独联体国家,商品exporting国家,inflation靶向发展中国家In the时段1990 - 2017。
{"title":"Факторы поддержания конкурентоспособности в условиях укрепления реального курса национальных валют (Factors to Maintain Competitiveness in the Strengthening of the Real Exchange Rate of National Currencies)","authors":"A. Bozhechkova, Elizaveta Dobronravova, Diana Petrova, Pavel Trunin","doi":"10.2139/ssrn.3354497","DOIUrl":"https://doi.org/10.2139/ssrn.3354497","url":null,"abstract":"Russian Abstract: Данная работа посвящена изучению факторов и механизмов поддержания конкурентоспособности национальных экономики в условиях укрепления валютного курса. В первой части работы представлены основные теоретические подходы к моделированию международной конкурентоспособности, включая модели международной торговли, эндогенные модели экономического роста, а также ряд микроэкономических моделей с несовершенной конкуренцией, на основе которых выявлены ключевые факторы и механизмы поддержания международной конкурентоспособности. Во второй части исследования представлены результаты эмпирических расчетов с использованием системного обобщенного метода моментов и propensity score matching, посвященных оценке степени воздействия укрепления национальной валюты в реальном выражении на темпы экономического роста, динамику совокупной факторной производительности и степень диверсификации экспорта для различных групп стран, включая страны СНГ, страны экспортеры сырья, развивающиеся страны, таргетирующие инфляцию в период 1990-2017 гг. \u0000 \u0000English Abstract: In this paper we study the factors and mechanisms of maintaining the national competitiveness in the context of exchange rate appreciation. In the first section we present the main theoretical approaches to modeling international competitiveness, including international trade models, endogenous models of economic growth, as well as a number of microeconomic models with imperfect competition. In the second section we use the system generalized method of moments and propensity score matching to assess the impact of real currency appreciation on economic growth, the dynamics of total factor productivity and the degree of export diversification for various groups of countries, including CIS countries, commodity exporting countries, inflation targeting developing countries in the period 1990-2017.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127213283","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose: This study reviews the research work that has been carried out in the field of cryptocurrency and financial risk during past five years (2013-2018). This paper tracks and reviews the research work publish in leading academic journal in above mentioned journal. It then reviews from pragmatic and methodological approach. Design methodology and approach: this study analyses the selected contribution from the perspective of “Financial risk in cryptocurrency.” And further compares various studies on the article type and methodologies and research designs used in them. Using relational analysis approach recurrent themes are identified and research clusters are formed. Findings: The analysis leads to the identification of the major parameters namely: Financial risk, market risk, liquidity risk and operational risk and these rea the parameters that are impacting the values of cryptocurrency. We have also analysed the issues and challenges in the cryptocurrency market of India. Implications: We have tried to propose a model and collected the information from various reports and papers. We have also find out that various risk which are associated with CC market are controllable in nature on the other hand some of them are uncontrollable in nature. Originality value: Most reviews rely on bibliometric analysis or simple thematic analysis for literature review. This study provides greater insights by using a research paradigm framework to categorize and summarize the literature. This approach provides a comprehensive yet concise picture of the literature to future researchers.
{"title":"Crypto-Currency: Is the Future Dark or Bright","authors":"Mohd Yousuf Javed, Rehan Husain","doi":"10.2139/ssrn.3352412","DOIUrl":"https://doi.org/10.2139/ssrn.3352412","url":null,"abstract":"Purpose: This study reviews the research work that has been carried out in the field of cryptocurrency and financial risk during past five years (2013-2018). This paper tracks and reviews the research work publish in leading academic journal in above mentioned journal. It then reviews from pragmatic and methodological approach. Design methodology and approach: this study analyses the selected contribution from the perspective of “Financial risk in cryptocurrency.” And further compares various studies on the article type and methodologies and research designs used in them. Using relational analysis approach recurrent themes are identified and research clusters are formed. Findings: The analysis leads to the identification of the major parameters namely: Financial risk, market risk, liquidity risk and operational risk and these rea the parameters that are impacting the values of cryptocurrency. We have also analysed the issues and challenges in the cryptocurrency market of India. Implications: We have tried to propose a model and collected the information from various reports and papers. We have also find out that various risk which are associated with CC market are controllable in nature on the other hand some of them are uncontrollable in nature. Originality value: Most reviews rely on bibliometric analysis or simple thematic analysis for literature review. This study provides greater insights by using a research paradigm framework to categorize and summarize the literature. This approach provides a comprehensive yet concise picture of the literature to future researchers.<br>","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124144158","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2019-02-28DOI: 10.17287/KBR.2019.23.1.57
Yong Daw Ahn
Korea’s economic growth in the Development Era (1962~1996) was phenomenal. However, the growth was largely financed by debt capital: net capital inflow from abroad for the whole economy and bank loans for industrial firms. Overall demand for loans was so huge that various abnormal techniques, legal or not, had to be utilized to circumvent the tight government regulations and to take the maximum amount of loans from commercial banks. In most cases, the techniques were jointly developed by general trading companies and their prime banks. This study illustrates various techniques of illicit foreign-currency finance including advanced negotiation of L/Cs, intra-corporate D/A, intra-corporate red-clause L/Cs, loans with a forward contract, loans from written currency options, and others in the grey area. This case study is prepared on the basis of the author’s first-hand experience and additional research, for the purpose of shedding some light on financial stringency in Korea as a fast-growing economy and ingenuity of firms to overcome it. The author does not intend to denounce or criticize any party referred to in the study.
{"title":"A Case Study of Illicit Foreign-Currency Finance at Korean Firms in the Development Era (1962-96)","authors":"Yong Daw Ahn","doi":"10.17287/KBR.2019.23.1.57","DOIUrl":"https://doi.org/10.17287/KBR.2019.23.1.57","url":null,"abstract":"Korea’s economic growth in the Development Era (1962~1996) was phenomenal. However, the growth was largely financed by debt capital: net capital inflow from abroad for the whole economy and bank loans for industrial firms. Overall demand for loans was so huge that various abnormal techniques, legal or not, had to be utilized to circumvent the tight government regulations and to take the maximum amount of loans from commercial banks. In most cases, the techniques were jointly developed by general trading companies and their prime banks. This study illustrates various techniques of illicit foreign-currency finance including advanced negotiation of L/Cs, intra-corporate D/A, intra-corporate red-clause L/Cs, loans with a forward contract, loans from written currency options, and others in the grey area. This case study is prepared on the basis of the author’s first-hand experience and additional research, for the purpose of shedding some light on financial stringency in Korea as a fast-growing economy and ingenuity of firms to overcome it. The author does not intend to denounce or criticize any party referred to in the study.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116965309","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for Bitcoin returns at or above one day, though, we find predictability for sample frequencies up to 6 h. Predictability of Bitcoin returns is also found to be time–varying. We also study the behaviour of the realized volatility of Bitcoin. We document a remarkable high percentage of jumps above 80 % . We also find that realized volatility exhibits: (i) long memory; (ii) leverage effect; and (iii) no impact from lagged jumps. A forecast study shows that: (i) Bitcoin volatility has become more easy to predict after 2017; (ii) including a leverage component helps in volatility prediction; and (iii) prediction accuracy depends on the length of the forecast horizon.
{"title":"Bitcoin at High Frequency","authors":"Leopoldo Catania, Mads Sandholdt","doi":"10.2139/ssrn.3309565","DOIUrl":"https://doi.org/10.2139/ssrn.3309565","url":null,"abstract":"This paper studies the behaviour of Bitcoin returns at different sample frequencies. We consider high frequency returns starting from tick-by-tick price changes traded at the Bitstamp and Coinbase exchanges. We find evidence of a smooth intra-daily seasonality pattern, and an abnormal trade- and volatility intensity at Thursdays and Fridays. We find no predictability for Bitcoin returns at or above one day, though, we find predictability for sample frequencies up to 6 h. Predictability of Bitcoin returns is also found to be time–varying. We also study the behaviour of the realized volatility of Bitcoin. We document a remarkable high percentage of jumps above 80 % . We also find that realized volatility exhibits: (i) long memory; (ii) leverage effect; and (iii) no impact from lagged jumps. A forecast study shows that: (i) Bitcoin volatility has become more easy to predict after 2017; (ii) including a leverage component helps in volatility prediction; and (iii) prediction accuracy depends on the length of the forecast horizon.","PeriodicalId":126646,"journal":{"name":"PSN: Exchange Rates & Currency (International) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123150964","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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