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Price discovery of cryptocurrencies: Bitcoin and beyond

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Inducing Low-Carbon Investment in the Electric Power Industry Through a Price Floor for Emissions Trading

Uncertainty about long-term climate policy is a major driving force in the evolution of the carbon market price. Since this price enters the investment decision process of regulated firms, this…
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Cryptocurrency-Portfolios in a Mean-Variance Framework

In an out-of-sample analysis accounting for transaction cost, it is found that combining cryptocurrencies enriches the set of ‘low’-risk cryptocurrency investment opportunities and the 1/N-portfolio outperforms single cryptocurrencies and more than 75% of mean-variance optimal portfolios.
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A Regime-Switching Relative Value Arbitrage Rule

The relative value arbitrage rule, also known as “pairs trading” or “statistical arbitrage”, is a well established speculative investment strategy on financial markets, dating back to the 1980s.…
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Joint Dynamics of Prices and Trading Volume on the Polish Stock Market

This paper concerns the relationship between stock returns and trading volume. We use daily stock data of the Polish companies included in the WIG20 segment (the twenty most liquid companies quoted…

How to measure the liquidity of cryptocurrency markets?

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Weather Value at Risk: On the Measurement of Noncatastrophic Weather Risk

AbstractAn evaluation of weather risk entails two important objectives: indicating the economic impact of weather variability and climate change, and evaluating the use of weather derivatives in…
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THE EMPIRICAL RELATIONSHIP BETWEEN STOCK RETURNS, RETURN VOLATILITY AND TRADING VOLUME ON THE AUSTRIAN STOCK MARKET

This study investigates the empirical relationship between stock returns, return volatility and trading volume using data from the Austrian stock market. We find only weak support for a…

Bitcoin Exchange Rates: How Integrated are Markets?

We study trading of Bitcoin against US dollar (BTCUSD) on exchanges in three continents, Bitfinex, Bitstamp and Coinbase Pro. We use a high frequency dataset that contains transactions and order book…
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The relationship between budgetary expenditure and economic growth in Poland

In case of Poland the health care expenditure was found to be as important for economic growth as expenditures on education and science, and Polish government should consider reallocating some of national defence, public security and government administration expenditure to health care, social security, education andScience expenditure.
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