Cross-exchange crypto risk: A high-frequency dynamic network perspective

Cross-exchange crypto risk: A high-frequency dynamic network perspective

Cross-exchange crypto trading presents inherent risks, particularly for centralized exchanges. Investors observe exacerbating crypto volatility and counterparty risk and would like to quantify these elements of crypto trades. The multiple exchanges require a multivariate view on the structures of ri...

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Bibliographic Details
Main Authors: WANG, Yifu, LU, Wanbo, LIU, Min-Bin, REN, Rui, HARDLE, Wolfgang Karl
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Partial correlation network
high-frequency data
Bitcoin
FTX
HAR
Economics
Finance
Online Access:https://ink.library.smu.edu.sg/skbi/40
https://ink.library.smu.edu.sg/context/skbi/article/1039/viewcontent/SSRN_id4308825.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/skbi/40
https://ink.library.smu.edu.sg/context/skbi/article/1039/viewcontent/SSRN_id4308825.pdf

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