| Author(s): |
Mgr. Jan Šíla MSc., Michael Mark, Thomas A. Weber
|
| Type: |
IES Working Papers |
| Year: |
2019 |
| Number: |
29 |
| ISSN / ISBN: |
|
| Published in: |
IES Working Papers 29/2019 |
| Publishing place: |
Prague |
| Keywords: |
Hawkes process, endogeneity, branching ratio, maximum-likelihood estimation, cryptocurrencies, bitcoin |
| JEL codes: |
G140, G150, C580 |
| Suggested Citation: |
Mark M., Sila J. and Weber T.A. (2019): "Quantifying Endogeneity of Cryptocurrency Markets" IES Working Papers 29/2019. IES FSV. Charles University. |
| Grants: |
PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream
|
| Abstract: |
In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that allows for a parsimonious representation of endogenous-exogenous dynamics. |
| Downloadable: |
wp_2019_29_mark_sila_weber
|
