219 citations · 942 across the 36 of their papers we have counts for
5 papers · 1 filter
Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
Vaiva Vasiliauskaite, Fabrizio Lillo, Nino Antulov-Fantulin
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with di…
Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data
M. Eren Akbiyik, Mert Erkul, Killian Kaempf +2
Understanding the variations in trading price (volatility), and its response to exogenous information, is a well-researched topic in finance. In this study, we focus on finding sta…
On the impact of publicly available news and information transfer to financial markets
Metod Jazbec, Barna Pásztor, Felix Faltings +2
We quantify the propagation and absorption of large-scale publicly available news articles from the World Wide Web to financial markets. To extract publicly available information,…
Time-varying volatility in Bitcoin market and information flow at minute-level frequency
Irena Barjašić, Nino Antulov-Fantulin
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity…
Inferring short-term volatility indicators from Bitcoin blockchain
Nino Antulov-Fantulin, Dijana Tolic, Matija Piskorec +2
In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily tran…