Price clustering in Bitcoin

By Andrew Urquhart. 2017

325 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Information Systems

View Paper: https://www.semanticscholar.org/paper/b75fec28034ef151dd56f82640b08bf4b3100f91

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Citations in the corpus

Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020, unknown): “This is particularly true of Bitcoin, which has been shown to be subject to bubble-like dynamics, extreme price movements and price clustering (Corbet et al., 2019; 2018a; Urquhart, 2017).”
Datestamping the Bitcoin and Ethereum bubbles (2017, unknown): “Urquhart [2017] measures the eﬃciency of Bitcoin returns over a six-year period (between August 2010 and July 2016) using a number of tests for randomness (Ljung-Box, Runs, Bartels, Automatic variance test, BDS, R/S Hurst tests).”
An application of extreme value theory to cryptocurrencies (2018, unknown): “For this reason, a lot of academic research has been conducted on Bitcoin (see, e.g., Cheah and Fry, 2015; Dyhrberg, 2016; Urquhart, 2016, 2017; Bariviera, 2017; Katsiampa, 2017; Nadarajah and Chu, 2017).”
Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (2020, unknown): “…et al 2018), the hedging and diversification benefits (Bouri et al 2017; Corbet et al 2018a; Urquhart and Zhang 2018; Borri 2019), the existence of bubbles (Cheah and Fry 2015; Corbet et al 2018b) and the behaviour of Bitcoin returns (Urquhart 2017; Corbet and Katsiampa 2018; Phillip et al 2018).”
Portfolio diversification across cryptocurrencies (2019, background): “…a lot of academic research has been conducted on Bitcoin, such as market efficiency (Urquhart, 2016; Nadarajah and Chu, 2017; Bariviera, 2017; Vidal-Tomás and Ibañez, 2018), price volatility (Dyhrberg, 2016; Katsiampa, 2017), price clustering (Urquhart, 2017), and transaction cost (Kim, 2017).”
Some stylized facts of the cryptocurrency market (2018, background): “The third focuses on the long-range dependence of Bitcoin returns (Balcilar et al. 2017; Lahmiri and Bekiros 2018; Lahmiri, Bekiros, and Salvi 2018; Urquhart 2017).”
Do cryptocurrencies and traditional asset classes influence each other? (2019, background): “Rapid development of cryptocurrencies attracted lot of attention in recent research (Brandvold, Molnár, Vagstad, and Valstad, 2005; Bouri, Jalkh, Molnár, and Roubaud, 2017; Urquhart, 2016; Katsiampa, 2017; Urquhart, 2017; Nadarajah and Chu, 2017).”
Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “Katsiampa (2017) examines various GARCH models and shows the importance of having both a short-run and long-run component of the conditional variance, while Urquhart (2017) shows significant price clustering of Bitcoin prices at round numbers.”