Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/228070
Authors: 
Mark, Michael
Sila, Jan
Weber, Thomas A.
Year of Publication: 
2019
Series/Report no.: 
IES Working Paper No. 29/2019
Abstract: 
In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that allows for a parsimonious representation of endogenous-exogenous dynamics.
Subjects: 
Hawkes process
endogeneity
branching ratio
maximum-likelihood estimation
cryptocurrencies
bitcoin
JEL: 
G14
G15
G58
Document Type: 
Working Paper

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