High Frequency Volatility Co-movements In Cryptocurrency Markets

High frequency volatility co-movements in cryptocurrency markets

Cryptocurrencies as a Financial Asset: A Systematic Analysis

49 PagesPosted: 19 Mar 2018

Date Written: March 18, 2018

Abstract

This paper provides a systematic review of the empirical literature on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009. Despite astonishing price appreciation in recent years, cryptocurrencies have been subjected to accusations of pricing bubbles central to the trilemma that exists between regulatory oversight, the potential for illicit use through it's anonymity within a young underdeveloped exchange system, and infrastructural breaches influenced by the growth of cyber criminality.

High frequency volatility co-movements in cryptocurrency markets

Each influence the perception of the role of cryptocurrencies as a trustworthy credible investment asset class and legitimate of value.

Keywords: Cryptocurrencies, Pricing Bubbles, Regulation, Cyber Criminality, Systematic Literature Review

JEL Classification: F31, G18

Suggested Citation:Suggested Citation

Corbet, Shaen and Lucey, Brian M.

High frequency volatility co-movements in cryptocurrency markets

and Urquhart, Andrew and Yarovaya, Larisa, Cryptocurrencies as a Financial Asset: A Systematic Analysis (March 18, 2018). Available at SSRN: https://ssrn.com/abstract=3143122 or http://dx.doi.org/10.2139/ssrn.3143122

[Hummingbot School] Lesson 1 - Cross-exchange market making strategy - Crypto high frequency trading