Now showing items 1-4 of 4
The effectiveness of technical trading rules in cryptocurrency markets
We analyse various technical trading rules in the form of the moving average-oscillator and trading range break-out strategies to specifically test resistance and support levels and their trading performance using ...
The relationship between implied volatility and cryptocurrency returns
We analyse the relationship between the price volatility of a broad range of cryptocurrencies and that of implied volatility of both United States and European financial markets as measured by the VIX and VSTOXX respectively. ...
The development of Bitcoin futures: exploring the interactions between cryptocurrency derivatives
We utilise a high-frequency analysis to investigate the period surrounding the establishment of two new futures contracts based on the performance of Bitcoin. Our analysis shows that there have been significant pricing ...
Intraday efficiency-frequency nexus in the cryptocurrency markets
This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies ...