Modelling sentiment and trader aggressiveness in cryptocurrency markets: An empirical analysis of the Bitcoin limit order book.

• 主要作者: THANG, Angelique Nicole Huei Yin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2023
• 主題: Bitcoin; cryptocurrency; limit order book; market microstructure; trader aggressiveness; order aggressiveness; sentiment; trading.; Finance; Finance and Financial Management
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/541; https://ink.library.smu.edu.sg/context/etd_coll/article/1539/viewcontent/GPBA_AY2019_DBA_AngeliqueNicoleThang.pdf
• 機構: Singapore Management University

Cryptocurrency assets are inherently susceptible to social sentiment. Due to emotional contagion, extreme emotions influence and drive traders’ order execution behaviour. This study aims to empirically model the relationship between sentiment and trader aggressiveness for two types of traders: Whale...