Bitcoin Price Risk—A Durations Perspective
Keyword(s):
An important aspect of liquidity is price risk, i.e., the risk that a small transaction leads to a large price change. This usually happens in a thin market, when trading opportunities are scarce and the time between subsequent trades is long. We rely on an autoregressive conditional duration model to extract the probability of a substantial price event in a particular time interval and, thus, an intraday risk profile. Our findings show that price risk is highest at times when European and U.S. investors do not trade. In a second step, we relate daily aggregates to characteristics of the Bitcoin blockchain and investigate whether investors account for features like confirmation time or fees when timing their orders.
1997 ◽
Vol 4
(2-3)
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pp. 187-212
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2014 ◽
Vol 34
(6-10)
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pp. 849-881
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2012 ◽
Vol 41
(3)
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pp. 287-301
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2005 ◽
Vol 6
(3)
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pp. 208-225
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