Designating the Endogeneity in the Cryptocurrency Market Using an Intensity-based Hawkes Process
Posted: 11 Jan 2020
Date Written: April 28, 2018
We study the self-excitability and price clustering properties of the cryptocurrency market using an intensity-based Hawkes process. The branching ratio, which is the average ratio of the number of price moves caused by endogenous interactions to the total number of all price changes, is used as a proxy for market "reflexivity" or the endogeneity in the cryptocurrency market. We find that the price process for Bitcoin has the highest endogeneity among the processes for other cryptocurrencies and other financial markets including SP500, Gold, and VIX.
Keywords: Cryptocurrency, Refkexivity, Endogeneity, Price clustering, Branching processes, Hawkes process
JEL Classification: C22, G12, G14
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