Market attention and Bitcoin price modeling: theory, estimation and option pricing

DOI10.1007/s10203-019-00262-xzbMath1444.91208arXiv1702.00215OpenAlexW2966506330MaRDI QIDQ777928

Gianna Figà-Talamanca, Marco Patacca, Alessandra Cretarola

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00215

zbMATH Keywords

maximum likelihood estimationoption pricingstochastic modelsBitcoinmarket attention

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (7)

Bitcoin: jumps, convenience yields, and option prices ⋮ Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} ⋮ Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin ⋮ Blockchain and cryptocurrencies: economic and financial research ⋮ Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages ⋮ Complexity traits and synchrony of cryptocurrencies price dynamics ⋮ Does market attention affect bitcoin returns and volatility?

Uses Software

• FinTS

Cites Work

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• Does market attention affect bitcoin returns and volatility?
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• Statistical Models
• A Continuous Time Model for Bitcoin Price Dynamics
• Delay geometric Brownian motion in financial option valuation
• Analysis of Financial Time Series
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• Maximum Likelihood Estimation of Misspecified Models

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