Publication detail

Quantifying Endogeneity of Cryptocurrency Markets

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
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