A Dynamic Market Microstructure Model with Insider Information and Order Book

Osterrieder, Jörg Robert (2005). A Dynamic Market Microstructure Model with Insider Information and Order Book Elsevier 10.2139/ssrn.676028

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We provide an extreme value analysis of the returns of Bitcoin. A particular focus is on the tail risk characteristics and we will provide an in-depth univariate extreme value analysis. Those properties will be compared to the traditional exchange rates of the G10 currencies versus the US dollar. For investors - especially institutional ones - an understanding of the risk characteristics is of utmost importance. So for bitcoin to become a mainstream investable asset class, studying these properties is necessary. Our Öndings show that the bitcoin return distribution not only exhibits higher volatility than traditional G10 currencies, but also stronger non-normal characteristics and heavier tails. This has implications for risk management, Önancial engineering (such as bitcoin derivatives) - both from an investorís as well as from a regulatorís point of view. To our knowledge, this is the Örst detailed study looking at the extreme value behaviour of the cryptocurrency Bitcoin.

Item Type:	Working Paper
Division/Institute:	Business School > Institute for Applied Data Science & Finance Business School
Name:	Osterrieder, Jörg Robert0000-0003-0189-8636
Subjects:	H Social Sciences > HG Finance
ISSN:	1556-5068
Publisher:	Elsevier
Language:	English
Submitter:	Jörg Robert Osterrieder
Date Deposited:	29 Aug 2022 14:39
Last Modified:	29 Aug 2022 14:51
Publisher DOI:	10.2139/ssrn.676028
URI:	https://arbor.bfh.ch/id/eprint/17401