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Net buying pressure and the information in bitcoin option trades
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Net buying pressure and the information in bitcoin option trades (2022)Net buying pressure and the information i…How to measure the liquidity of cryptocurrency markets? (2021)How to measure the liquidity …Downside risk and the cross-section of cryptocurrency returns (2021)Downside risk and the cross-s…Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models (2019)Modelling the dynamics of Bit…BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (2019)BitMEX bitcoin derivatives: P…Trading and Arbitrage in Cryptocurrency Markets (2018)Trading and Arbitrage in Cryp…Does twitter predict Bitcoin? (2018)Does twitter predict Bitcoin?Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation (2018)Does economic policy uncertai…High-Frequency Jump Analysis of the Bitcoin Market (2017)High-Frequency Jump Analysis …What drives Bitcoin price? (2016)What drives Bitcoin price?Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees (2016)Too-Systemic-to-Fail: What Op…Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)Speculative bubbles in Bitcoi…Jump risk, stock returns, and slope of implied volatility smile (2010)Jump risk, stock returns, and…Option Market Activity (2006)Option Market ActivityDoes Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Does Net Buying Pressure Affe…Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)Stock Return Characteristics,…Option Volume and Stock Prices: Evidence on Where Informed Traders Trade (1998)Option Volume and Stock Price…Crypto quanto and inverse options (2023)Crypto quanto and inverse opt…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Common risk factors in the returns on stocks and bonds (1993)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Aggregate Jump and Volatility Risk in the Cross‐Section of Stock Returns (2014)Does corporate eco-innovation affect stock price crash risk? (2021)A test for independence based on the correlation dimension (1996)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Options and the Bubble (2006)Does option trading convey stock price information? (2013)Why does the option to stock volume ratio predict stock returns? (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Inferring Trade Direction from Intraday Data (1991)The High‐Volume Return Premium (2001)Demand-Based Option Pricing (2005)The Information in Option Volume for Future Stock Prices (2006)Oil prices, US stock return, and the dependence between their quantiles (2015)Measuring Economic Policy Uncertainty* (2016)Dynamic connectedness and integration in cryptocurrency markets (2018)Herding behaviour in cryptocurrencies (2018)Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic (2020)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)Should Investors Include Bitcoin in Their Portfolios? A Portfolio Theory Approach (2018)Common Risk Factors in Cryptocurrency (2022)Cryptocurrency trading: a comprehensive survey (2022)A new statistic and practical guidelines for nonparametric Granger causality testing (2006)The Inefficiency of Bitcoin (2016)Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective (2019)Time-series forecasting of Bitcoin prices using high-dimensional features: a machine learning approach (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Resolution of policy uncertainty and sudden declines in volatility (2017)Capital requirements, risk choice, and liquidity provision in a business-cycle model (2019)Did the paycheck protection program hit the target? (2022)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Liquidity and Asset Prices (2006)What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? (2010)
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References

  • 2015Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin1,386 cited
  • 2003Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options1,354 cited
  • 1998Option Volume and Stock Prices: Evidence on Where Informed Traders Trade1,089 cited
  • 2004Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?991 cited
  • 2018Trading and Arbitrage in Cryptocurrency Markets903 cited
  • 2018Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation694 cited
  • 2018Does twitter predict Bitcoin?381 cited
  • 2010Jump risk, stock returns, and slope of implied volatility smile327 cited
  • 2006Option Market Activity243 cited
  • 2016Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees222 cited
  • 2021Downside risk and the cross-section of cryptocurrency returns145 cited
  • 2021How to measure the liquidity of cryptocurrency markets?142 cited
  • 2019BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness116 cited
  • 2016What drives Bitcoin price?107 cited
  • 2017High-Frequency Jump Analysis of the Bitcoin Market

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95 cited
  • 2019Modelling the dynamics of Bitcoin and Litecoin: GARCH versus stochastic volatility models70 cited
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    • 2023Crypto quanto and inverse options26 cited