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Liquidity connectedness in cryptocurrency market
We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use
the connectedness models of Diebold and Yilmaz (Int J Forecast 28 (1): 57–66, 2012) and …
the connectedness models of Diebold and Yilmaz (Int J Forecast 28 (1): 57–66, 2012) and …
“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic
In this paper, we empirically analyse the performance of five gold-backed stablecoins during
the COVID-19 pandemic and compare them to gold, Bitcoin and Tether. In the digital assets' …
the COVID-19 pandemic and compare them to gold, Bitcoin and Tether. In the digital assets' …
Zeroing in on the expected returns of anomalies
We zero in on the expected returns of long-short portfolios based on 204 stock market
anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) …
anomalies by accounting for i) effective bid–ask spreads, ii) post-publication effects, and iii) …
Liquidity measurement: A comparative review of the literature with a focus on high frequency
This paper provides an exhaustive review and categorization of market liquidity measures
that are used to quantify liquidity in empirical research. We review and discuss these …
that are used to quantify liquidity in empirical research. We review and discuss these …
What effect did the introduction of Bitcoin futures have on the Bitcoin spot market?
Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of
the most popular cryptocurrency finally being accepted by the financial community. In this …
the most popular cryptocurrency finally being accepted by the financial community. In this …
Does it pay to follow anomalies research? machine learning approach with international evidence
O Tobek, M Hronec - Journal of Financial Markets, 2021 - Elsevier
We study out-of-sample returns on 153 anomalies in equities documented in the academic
literature. We show that machine learning techniques that aggregate all the anomalies into …
literature. We show that machine learning techniques that aggregate all the anomalies into …
The causality between liquidity and volatility in the Polish stock market
We study dependencies between liquidity and volatility in the causality framework for stocks
listed on the Warsaw Stock Exchange. Using Toda-Yamamoto and Granger causality tests …
listed on the Warsaw Stock Exchange. Using Toda-Yamamoto and Granger causality tests …
Liquidity, implied volatility and tail risk: A comparison of liquidity measures
Liquidity is easily perceived but not easily measured in financial markets. Researchers and
practitioners develop and test new measures of liquidity which may be good candidates for …
practitioners develop and test new measures of liquidity which may be good candidates for …
Measuring commodity market quality
In this paper, we identify the most suitable low-frequency proxies for analyzing commodity
market quality. We use an 11-year sample of millisecond time-stamped order book data and …
market quality. We use an 11-year sample of millisecond time-stamped order book data and …
Liquidity synchronization, its determinants and outcomes under economic growth volatility: Evidence from emerging Asian economies
This study investigates the country-level determinants of liquidity synchronization and
degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable …
degrees of liquidity synchronization during economic growth volatility. As a non-diversifiable …