Bitcoin Price Risk—A Durations Perspective
Thomas Dimpfl () and
Stefania Odelli ()
Additional contact information
Stefania Odelli: School of Business and Economics, University of Tübingen, Sigwartstr. 18, 72076 Tübingen, Germany
Journal of Risk and Financial Management, 2020, vol. 13, issue 7, 1-18
Abstract:
An important aspect of liquidity is price risk, i.e., the risk that a small transaction leads to a large price change. This usually happens in a thin market, when trading opportunities are scarce and the time between subsequent trades is long. We rely on an autoregressive conditional duration model to extract the probability of a substantial price event in a particular time interval and, thus, an intraday risk profile. Our findings show that price risk is highest at times when European and U.S. investors do not trade. In a second step, we relate daily aggregates to characteristics of the Bitcoin blockchain and investigate whether investors account for features like confirmation time or fees when timing their orders.
Keywords: bitcoin; duration; risk; microstructure (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
https://www.mdpi.com/1911-8074/13/7/157/pdf (application/pdf)
https://www.mdpi.com/1911-8074/13/7/157/ (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:157-:d:386045
Access Statistics for this article
Journal of Risk and Financial Management is currently edited by Prof. Dr. Michael McAleer
More articles in Journal of Risk and Financial Management from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().