Price discovery on Bitcoin exchanges

By Morten Brandvold, Péter Molnár, Kristi Vagstad, Ole Christian Andreas Valstad. 2015

317 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ac48b8ab52cbeadc68e17c01d6bd7a503a795510

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Citations in the corpus

Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018, unknown): “(2018), Catania & Grassi (2017), Dyhrberg (2016), Katsiampa (2017), and Chu et al. (2017) use univariate volatility models to analyze the volatility structure of Bitcoin and other cryptocurrencies. Conrad et al. (2018) examine the drivers of long-term volatility of Bitcoin and compare them to other ”
Some simple bitcoin economics (2019, background): “Brandvold et al. (2015) examine the price discovery on Bitcoin exchanges.”
Is Bitcoin a hedge or safe haven for currencies? An intraday analysis (2019, unknown): “We select the Bitcoin price from the Bitstamp exchange since it is one of the first, most popular and liquid Bitcoin exchanges (Brandvold et al (2015)).”
Taming the blockchain beast? Regulatory implications for the cryptocurrency Market (2020, unknown): “contributing to cryptocurrency price discovery with the same pairs traded in different jurisdictions (Brandvold et al., 2015), national exchange regulation might be extremely ineffective.”
Pervasive Decentralisation of Digital Infrastructures: A Framework for Blockchain enabled System and Use Case Analysis (2017, background): “[3], or focuses specific cryptocurrencies which are only a single purpose instantiation of a blockchain system [20].”
On the transaction cost of Bitcoin (2017, background): “2 Major works include estimating Bitcoin’s impact on the existing monetary system ( Böhme et al., 2015; Dwyer 2015; Harvey 2015 ) and examining Bitcoin’s price movements ( Yermack 2013; Brandvold et al., 2015; Cheah and Fry 2015; Dyhrberg 2016; Kim 2015 ).”
Testing Stylized Facts of Bitcoin Limit Order Books (2019, background): “Other works focus on stylized facts of price time series (Bariviera et al. 2017; Brandvold et al. 2015; Chan et al. 2017; Chu et al. 2017; Easwaran et al. 2015; Zargar and Kumar 2019; Zhang et al. 2018) or the liquidity at the best bid and best ask—see Dimpfl (2017) and Dyhrberg et al. (2018).”
On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2017, unknown): “The proxy for Bitcoin prices is the exchange rate of Bitcoin to US dollars from the Bitstamp marketplace (Brandvold et al., 2015).”
Modelling long memory volatility in the Bitcoin market: Evidence of persistence and structural breaks (2018, background): “exchange (Brandvold et al., 2015), covering the period from August 19, 2011 to April”
An empirical investigation of volatility dynamics in the cryptocurrency market (2019, unknown): “From quite early, a topic of interest of several academics has been the price discovery process of Bitcoin and its price determinants, which has been examined by Kristoufek (2013), Brandvold et al. (2015), Georgoula et al.”