Daniel F. Heck

University of Sussex Business School

Sussex House

Falmer

Brighton, Sussex BNI 9RH

United Kingdom

  • University of Sussex Business School

SCHOLARLY PAPERS

4

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SSRN CITATIONS
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28

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4

Scholarly Papers (4)

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1.

Price Discovery in Bitcoin: The Impact of Unregulated Markets

Journal of Financial Stability, Volume 50, October 2020, Article Number 100776
Number of pages: 34 Posted: 20 May 2020 Last Revised: 01 May 2022
Carol Alexander and Daniel F. Heck
University of Sussex Business School and University of Sussex Business School
Downloads 954 (42,526)
Citation 4

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Bitcoin ETF, Exchange-Traded Funds, Hedging, Information Shares, Impulse Response, Speculation, Manipulation

2.

Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets

Number of pages: 27 Posted: 13 May 2019 Last Revised: 12 Oct 2020
Carol Alexander and Daniel F. Heck
University of Sussex Business School and University of Sussex Business School
Downloads 918 (44,812)
Citation 6

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Bitcoin Reference Rate (BRR); Coinbase; Kraken; BitStamp; Gemini

3.

Price Discovery in Bitcoin: The Role of Limit Orders

Number of pages: 39 Posted: 12 Jul 2022
Carol Alexander, Daniel F. Heck and Andreas Kaeck
University of Sussex Business School, University of Sussex Business School and University of Sussex
Downloads 670 (68,598)

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Price Impact, Limit Order Book, Liquidity Provision, Price Discovery, Information Content, Reinforcement Learning

4.

The Role of Binance in Bitcoin Volatility Transmission

Number of pages: 39 Posted: 08 Jul 2021 Last Revised: 06 Aug 2021
Carol Alexander, Daniel F. Heck and Andreas Kaeck
University of Sussex Business School, University of Sussex Business School and University of Sussex
Downloads 292 (180,032)
Citation 5

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Bitcoin ETF, Exchange-Traded Funds, Realised Volatility, Volatility Transmission, Cryptocurrency