SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Testing Stylized Facts of Bitcoin Limit Order Books
16 references·0 citing·43 second hop
Testing Stylized Facts of Bitcoin Limit Order Books (2019)Testing Stylized Facts of Bitcoin Limit O…Some stylized facts of the Bitcoin market (2017)Some stylized facts of the Bi…GARCH Modelling of Cryptocurrencies (2017)GARCH Modelling of Cryptocurr…Price discovery on Bitcoin exchanges (2015)Price discovery on Bitcoin ex…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesThe Price Impact of Order Book Events (2013)The Price Impact of Order Boo…Limit order books (2013)Limit order booksA Dynamic Model of the Limit Order Book (2009)A Dynamic Model of the Limit …Limit Order Book as a Market for Liquidity (2005)Limit Order Book as a Market …Statistical properties of stock order books: empirical results and models (2002)Statistical properties of sto…Order aggressiveness in limit order book markets (2002)Order aggressiveness in limit…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…Statistical properties of share volume traded in financial markets (2000)Statistical properties of sha…An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)An Empirical Analysis of the …An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Price, trade size, and information in securities markets (1987)How Markets Slowly Digest Changes in Supply and Demand (2009)A Stochastic Model for Order Book Dynamics (2010)Optimal trading strategy and supply/demand dynamics (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)A Theory of Intraday Patterns: Volume and Price Variability (1988)Time and the Process of Security Price Adjustment (1992)Technology and liquidity provision: The blurring of traditional definitions (2008)Optimal execution strategies in limit order books with general shape functions (2009)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)A Rational Route to Randomness (1997)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models (1993)Why do NASDAQ Market Makers Avoid Odd-Eighth Quotes? (1994)Order flow composition and trading costs in a dynamic limit order market (1999)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Dividend yields and expected stock returns (1988)Time-varying long-term memory in Bitcoin market (2017)Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position (2019)Multiscale characteristics of the emerging global cryptocurrency market (2020)The Behavior of Stock-Market Prices (1965)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Does realized skewness predict the cross-section of equity returns? (2015)News implied volatility and disaster concerns (2016)Power Laws in Economics: An Introduction (2016)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market microstructure: A survey (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)High frequency market microstructure (2015)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse1,151 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2014Tail Risk and Asset Prices788 cited
  • 2000VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS701 cited
  • 2005Limit Order Book as a Market for Liquidity614 cited
  • 2009A Dynamic Model of the Limit Order Book567 cited
  • 2017Some stylized facts of the Bitcoin market449 cited
  • 2002Order aggressiveness in limit order book markets409 cited
  • 2002Statistical properties of stock order books: empirical results and models358 cited
  • 2017GARCH Modelling of Cryptocurrencies356 cited
  • 2013The Price Impact of Order Book Events348 cited
  • 2015Price discovery on Bitcoin exchanges332 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 2013Limit order books

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

310 cited

Cited by

No citing works inside the corpus for this window.