Cryptocurrencies and stablecoins: a high-frequency analysis

被引：0
|
作者：
Emilio Barucci
Giancarlo Giuffra Moncayo
Daniele Marazzina
机构：
[1] Politecnico di Milano,Department of Mathematics
来源：
Digital Finance | 2022年 / 4卷 / 2-3期
关键词：
Stablecoin; Cryptocurrency; Intraday; Time series; E41; E50;
D O I：
10.1007/s42521-022-00055-9
中图分类号：
学科分类号：
摘要：
We analyze cryptoasset markets (cryptocurrencies and stablecoins) at high frequency. We investigate intraday patterns. We show that Tether plays a crucial role as a safe haven and/or store of value facilitating trading in cryptocurrencies without going through traditional currencies. Markets centered on cryptocurrencies and stablecoins play a primary role aggregating preference/technology shocks and heterogeneous opinions, instead markets centered on the US dollar play a marginal role on price formation.
引用
收藏
页码：217 / 239
页数：22
相关论文
共 50 条
  • [1] High-frequency return and volatility spillovers among cryptocurrencies
    Sensoy, Ahmet
    Silva, Thiago Christiano
    Corbet, Shaen
    Tabak, Benjamin Miranda
    [J]. APPLIED ECONOMICS, 2021, 53 (37) : 4310 - 4328
  • [2] Can Stablecoins Foster Cryptocurrencies Adoption?
    Au, Cheuk Hang
    Hsu, Wen Shou
    Shieh, Po Hsu
    Lin, Yue
    [J]. JOURNAL OF COMPUTER INFORMATION SYSTEMS, 2024, 64 (03) : 360 - 369
  • [3] Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
    Petukhina, Alla A.
    Reule, Raphael C. G.
    Haerdle, Wolfgang Karl
    [J]. EUROPEAN JOURNAL OF FINANCE, 2021, 27 (1-2): : 8 - 30
  • [4] Stablecoins as Safe Haven or Hedging Asset for Cryptocurrencies
    Nittayakamolphun, Pitipat
    Bejrananda, Thanchanok
    Pholkerd, Panjamapon
    [J]. APPLIED ECONOMICS JOURNAL, 2022, 29 (02): : 46 - 71
  • [5] An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
    Bariviera, Aurelio F.
    Zunino, Luciano
    Rosso, Osvaldo A.
    [J]. CHAOS, 2018, 28 (07)
  • [6] On the Market Efficiency and Liquidity of High-Frequency Cryptocurrencies in a Bull and Bear Market
    Zhang, Yuanyuan
    Chan, Stephen
    Chu, Jeffrey
    Sulieman, Hana
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (01)
  • [7] What drives the popularity of stablecoins? Measuring the frequency dynamics of connectedness between volatile and stable cryptocurrencies
    Let, Blanka
    Sobanski, Konrad
    Swider, Wojciech
    Wlosik, Katarzyna
    [J]. TECHNOLOGICAL FORECASTING AND SOCIAL CHANGE, 2023, 189
  • [8] Stablecoins versus traditional cryptocurrencies in response to interbank rates
    Nguyen, Thach V. H.
    Thai Vu Hong Nguyen
    Thanh Cong Nguyen
    Thu Thi Anh Pham
    Nguyen, Quan M. P.
    [J]. FINANCE RESEARCH LETTERS, 2022, 47
  • [9] The Role of Stablecoins: Cryptocurrencies Sought Stability and Found Gold and Dollars
    Diaz, Antonio
    Esparcia, Carlos
    Huelamo, Diego
    [J]. MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022, 2022, : 209 - 215
  • [10] FET HIGH-FREQUENCY ANALYSIS
    REDDY, B
    TROFIMENKOFF, FN
    [J]. PROCEEDINGS OF THE INSTITUTION OF ELECTRICAL ENGINEERS-LONDON, 1966, 113 (11): : 1755 - +
12345