Sökning: "Charles Gyllhamn"

Hittade 1 uppsats innehållade orden Charles Gyllhamn.

  1. 1. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Charles Gyllhamn; Jacob Winberg; [2022]
    Nyckelord :Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Sammanfattning : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. LÄS MER