Quantifying endogeneity of cryptocurrency markets

【Author】 Mark, Michael; Sila, Jan; Weber, Thomas A.

【Source】EUROPEAN JOURNAL OF FINANCE

【影响因子】1.903

【Abstract】We construct a 'reflexivity' index to measure the activity generated endogenously within a market for cryptocurrencies. For this purpose, we fit a univariate self-exciting Hawkes process with two classes of parametric kernels to high-frequency trading data. A parsimonious model of both endogenous and exogenous dynamics enables a direct comparison with exchanges for traditional asset classes, in terms of identified branching ratios. We also formulate a 'Hawkes disorder problem,' as generalization of the established Poisson disorder problem, and provide a simulation-based approach to determining an optimal observation horizon. Our analysis suggests that Bitcoin mid-price dynamics feature long-memory properties, well explained by the power-law kernel, at a level of criticality similar to fiat-currency markets.

【Keywords】Bitcoin; branching ratio; cryptocurrencies; endogeneity; Hawkes process; market reflexivity; trading behavior

【发表时间】2020

【收录时间】2022-01-02

【文献类型】

【主题类别】

--