Modeling Price Clusters in Cryptocurrencies Using an Intensity-based Hawkes Process

Atak, A. (2018). Modeling Price Clusters in Cryptocurrencies Using an Intensity-based Hawkes Process. .

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Abstract

We add to the literature on cryptocurrencies by studying the excitability and price clustering activities of Bitcoin, Ethereum and Ripple exchanges using an intensity based Hawkes process. The Hawkes process, a point process mathematically defined by Hawkes (1971), is an extension of the classical Poisson process that possesses the clustering property. We use the branching ratio as a proxy for market "reflexivity" in cryptocurrency market. We find that the process for Bitcoin has a higher endogeneity than the process for other currencies. Our empirical results are consistent with
Baldwin et al. (2017).

Item Type: Monograph (Working Paper)
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/19061

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