Related papers: Risk Premia in the Bitcoin Market
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
The S&P 500 index is considered the most popular trading instrument in financial markets. With the rise of cryptocurrencies over the past years, Bitcoin has also grown in popularity and adoption. The paper aims to analyze the daily return…
The year 2024 witnessed a major development in the cryptocurrency industry with the long-awaited approval of spot Bitcoin exchange-traded funds (ETFs). This innovation provides investors with a new, regulated path to gain exposure to…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
This study investigates the influence of monetary policy and monetary policy uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from July 2010 to August 2023, and employing the Markov Switching Means VAR (MSM-VAR)…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level, complementing a companion conditional variance analysis that finds 5.7 times larger volatility…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…
The security of Bitcoin protocols is deeply dependent on the incentives provided to miners, which come from a combination of block rewards and transaction fees. As Bitcoin experiences more halving events, the protocol reward converges to…
This paper presents an option pricing model that incorporates clustered jumps using a bivariate Hawkes process. The process captures both self- and cross-excitation of positive and negative jumps, enabling the model to generate return…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
Cryptocurrency markets are characterized by extreme volatility, making accurate forecasts essential for effective risk management and informed trading strategies. Traditional deterministic (point) forecasting methods are inadequate for…
We study to what extent the Bitcoin blockchain security permanently depends on the underlying distribution of cryptocurrency market outcomes. We use daily blockchain and Bitcoin data for 2014-2019 and employ the ARDL approach. We test three…