Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective

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Lin, Min-Bin, Ren, Rui, Härdle, Wolfgang Karl, and Wang, Yifu (2022). Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective. Q2 ecosystem. Available at https://quantinar.com/course/164/cross-exchange-crypto-risk:-a-high-frequency-dynamic-network-perspectiv or http://dx.doi.org/10.24818/IDA-CL/2022.28.

@misc{lin2022, author = {Lin, Min-Bin, Ren, Rui, Härdle, Wolfgang Karl, and Wang, Yifu}, title = {Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective}, year = {2022}, howpublished = {Q2 ecosystem}, doi = {http://dx.doi.org/10.24818/IDA-CL/2022.28.}, url = {https://quantinar.com/course/164/cross-exchange-crypto-risk:-a-high-frequency-dynamic-network-perspectiv} }
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3 components

	Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective (pdf)	3.51 K
	Cross-exchange Crypto Risk: A High-frequency Dynamic Network Perspective (video)	17 min

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Description

We design a Multivariate Heterogeneous AutoRegression for High-Frequency data (MHAR-HF) to construct a dynamic partial correlation network of cryptocurrency exchange. The dynamic takes cryptocurrency stylized facts into account and capture events in cryptocurrency market.