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Price dynamics and speculative trading in Bitcoin
14 references·16 citing·41 second hop
Price dynamics and speculative trading in Bitcoin (2017)Price dynamics and speculative trading in…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Dynamic Volume-Return Relation of Individual Stocks (2002)Dynamic Volume-Return Relatio…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Trading Volume and Serial Correlation in Stock Returns (1993)Trading Volume and Serial Cor…On Testing for Speculative Bubbles (1990)On Testing for Speculative Bu…Informational Externalities and Welfare-Reducing Speculation (1987)Informational Externalities a…Constraints on short-selling and asset price adjustment to private information (1987)Constraints on short-selling …Price Destabilizing Speculation (1986)Price Destabilizing Speculati…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Use of Volatility Measures in Assessing Market Efficiency* (1981)The Use of Volatility Measure…Speculative bubbles, crashes and rational expectations (1979)Speculative bubbles, crashes …RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies (2021)Investing with cryptocurrenci…A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets (2021)A Survey on Volatility Fluctu…Predicting changes in Bitcoin price using grey system theory (2020)Predicting changes in Bitcoin…Policy uncertainty and Bitcoin returns (2020)Policy uncertainty and Bitcoi…Kimchi premium and speculative trading in bitcoin (2020)Kimchi premium and speculativ…Investor attention and the pricing of cryptocurrency market (2020)Investor attention and the pr…Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis (2020)Does transaction activity pre…Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal (2019)Volatility forecasting, downs…The drivers of Bitcoin demand: A short and long-run analysis (2019)The drivers of Bitcoin demand…Information availability and return volatility in the bitcoin Market: Analyzing differences of user opinion and interest (2019)Information availability and …Forecasting cryptocurrency prices time series using machine learning approach (2019)Forecasting cryptocurrency pr…The effects of markets, uncertainty and search intensity on bitcoin returns (2018)The effects of markets, uncer…Some stylized facts of the cryptocurrency market (2018)Some stylized facts of the cr…Extreme Correlation in Cryptocurrency Markets (2018)Extreme Correlation in Crypto…Centralized and decentralized bitcoin markets: Euro vs USD vs GBP (2018)Centralized and decentralized…Excess Volatility as an Impediment for a Digital Currency (2017)Excess Volatility as an Imped…Noise Trader Risk in Financial Markets (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Market Fundamentals versus Price-Level Bubbles: The First Tests (1980)The Theory of Rational Bubbles in Stock Prices (1988)CRASHES AS CRITICAL POINTS (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)The Relation Between Price Changes and Trading Volume: A Survey (1987)Why Does Stock Market Volatility Change Over Time? (1989)Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Price Momentum and Trading Volume (2000)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Market liquidity and volume around earnings announcements (1994)Differences of Opinion and the Cross Section of Stock Returns (2002)Continuous Auctions and Insider Trading (1985)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Trading Volume, Information Asymmetry, and Timing Information (2005)Does Public Financial News Resolve Asymmetric Information? (2010)All the News That's Fit to Reprint: Do Investors React to Stale Information? (2011)The Cross-Section of Expected Stock Returns (1992)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1987Constraints on short-selling and asset price adjustment to private information1,796 cited
  • 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 2002Dynamic Volume-Return Relation of Individual Stocks689 cited
  • 1979Speculative bubbles, crashes and rational expectations529 cited
  • 1987Informational Externalities and Welfare-Reducing Speculation433 cited
  • 1990On Testing for Speculative Bubbles385 cited
  • 1981The Use of Volatility Measures in Assessing Market Efficiency*337 cited
  • 1986Price Destabilizing Speculation239 cited

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  • 2018Some stylized facts of the cryptocurrency market187 cited

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  • 2018The effects of markets, uncertainty and search intensity on bitcoin returns163 cited
  • 2021Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies118 cited
  • 2020Policy uncertainty and Bitcoin returns88 cited
  • 2019The drivers of Bitcoin demand: A short and long-run analysis77 cited
  • 2019Forecasting cryptocurrency prices time series using machine learning approach73 cited
  • 2019Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets: A comparative analysis with yellow metal68 cited
  • 2019Information availability and return volatility in the bitcoin Market: Analyzing differences of user opinion and interest65 cited
  • 2020Predicting changes in Bitcoin price using grey system theory63 cited
  • 2021A Survey on Volatility Fluctuations in the Decentralized Cryptocurrency Financial Assets52 cited
  • 2018Extreme Correlation in Cryptocurrency Markets45 cited
  • 2017Excess Volatility as an Impediment for a Digital Currency38 cited
  • 2020Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis35 cited
  • 2020Investor attention and the pricing of cryptocurrency market32 cited
  • 2018Centralized and decentralized bitcoin markets: Euro vs USD vs GBP30 cited
  • 2020Kimchi premium and speculative trading in bitcoin30 cited