Determining the Endogeneity of Markets for Cryptocurrencies
Published: 22.08.22 — Dr. Michael Mark and Prof. Thomas Weber’s research on “Quantifying Endogeneity of Cryptocurrency Markets,” published in the current issue of the European Journal of Finance, examines the volatility of markets for cryptocurrencies, which is well-known to far exceed that of markets for traditional asset classes such as stocks and bonds. To investigate this, the authors determine the branching ratios associated with Bitcoin mid-price dynamics, when these are modeled using self-exciting point processes with different parametric kernels. They further address the issue of regime changes and the concomitant optimal length of an observation horizon for the validity of a model specification. The paper was co-authored with Jan Sila, a doctoral candidate in Finance and Capital Markets at Charles University, Prague.