219 citations · 942 across the 36 of their papers we have counts for
Showing 2021 · q-fin.STShow all
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q-fin.ST2021★ 5 cited
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…
q-fin.ST2021★ 13 cited
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…