Grant detail

Engodeneity and risk of cryptocurrency markets

Principal investigator: Mgr. Jan Šíla MSc.
Collaborators: Jaroslav Pavlíček M.A.
Description: Financial markets have long been considered as highly unpredictable random systems driven mainly by external influences and events where prices reflect such external shocks instantaneously. This stream of thought has been codified in a prevailing financial theory of the last century called the Efficient Market Hypothesis (EMH). Yet the recent development in data transfer, processing and storage offers quite an unprecedented access to the price generation process through the optics of high-frequency transaction data. Since recently, researches have been able to quantify how much of the observed dynamics are caused by internal dynamics and how much by external influences.

In the family of point processes, the notable self-exciting marked Hawkes process offers a parsimonious insight into this problem. It allows us to measure the level of endogeneity with a straightforward interpretation. This project aims to use this measure of market endogeneity of cryptocurrencies and connect it with a measure of the volatility of the markets. Realized volatility as a measure of risk in the high-frequency domain is not only a subject of currently popular research in the so-called market microstructure, but it is also important from the practical point of view. This project will investigate a direct connection between the endogeneity-related market regimes and their risk.
Participation: Supervisor doc. PhDr. Ladislav Krištoufek Ph.D
Work in grant:
Web link:
Finance: GAUK 1010120 - submitted 11/2019
End date: 2022
December 2020




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