Understanding Jumps in High Frequency Digital Asset Markets
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- 4.4 Rating
- 3 Reviews
- 13 Students Enrolled
Understanding Jumps in High Frequency Digital Asset Markets
Short introduction to drivers of digital asset prices and how to use high frequency econometrics to identify them
-
- 4.4 Rating
- 3 Reviews
- 13 Students Enrolled
- Free
jumps microstructurenoise highfrequency cryptocurrencies CRIX optionpricing
Courselet Content
Requirements
- Basic knowledge on cryptocurrencies
General Overview
Description
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto ticks gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction. This provides fundamental research for crypto option pricing models. However, we need better econometric methods for capturing the specific market microstructure of cryptos. All calculations are reproducible via the quantlet.com technology
Code resource: https://github.com/QuantLet/JumpDetectR
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