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Nothing but noise? Price discovery across cryptocurrency exchanges · Study

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ArticleNothing but noise? Price discovery across cryptocurrency exchanges

Thomas Dimpfl2020

OA

Articlegreen2020

Nothing but noise? Price discovery across cryptocurrency exchanges

Thomas Dimpfl · Franziska Julia Peter

67 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Blockchain Technology Applications and Security Financial Risk and Volatility Modeling

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References

2003Modeling and Forecasting Realized Volatility 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1988Estimating the components of the bid/ask spread 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin 1995Estimation of Common Long-Memory Components in Cointegrated Systems 2006Realized Variance and Market Microstructure Noise 2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance 2005Separating microstructure noise from volatility

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Year2020

Typearticle

Published2020-07-15

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations67

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2020.100584

openalex_workW3043294666

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2021

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