61 citations · 95 across the 4 of their papers we have counts for
3 papers · 1 filter
A first econometric analysis of the CRIX family
Shi Chen, Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle
In order to price contingent claims one needs to first understand the dynamics of these indices. Here we provide a first econometric analysis of the CRIX family within a time-serie…
Pricing Cryptocurrency Options
Ai Jun Hou, Weining Wang, Cathy Y. H. Chen +1
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC in…
Distillation of News Flow into Analysis of Stock Reactions
Junni L. Zhang, Wolfgang Karl Härdle, Cathy Y. Chen +1
The gargantuan plethora of opinions, facts and tweets on financial business offers the opportunity to test and analyze the influence of such text sources on future directions of st…