基地研究员张传海副教授与合作者（Zhengjun Zhang, Department of Statistics, University of Wisconsin at Madison; Mengyu Xu, Department of Statistics and Data Science, University of Central Florida; Zhe Peng, Lazaridis School of Business and Economics, Wilfrid Laurier University）的论文 "Good and bad self-excitation: Asymmetric self-exciting jumps in  Bitcoin returns" 在重要学术期刊Economic Modelling在线发表。

  Abstract:

      Recent studies find jumps in cryptocurrencies such as Bitcoin, however, little is known about the behavior of self-exciting jump clustering. Using high frequency data, we investigate the characteristics of self-exciting jumps in Bitcoin returns. First, we find strong asymmetry in self-excitation, which is triggered, on average, more by bad (negative) jumps than good (positive) jumps. Second, when discriminating bear and bull markets, we find negative asymmetry in bear markets but no evidence of positive asymmetry in bull markets. Third, self-excitation has asymmetric aftershock effects, where aftershocks triggered by bad self-excitation are more persistent than aftershocks triggered by good self-excitation. The findings presented in this paper have important implications in risk management and asset pricing for Bitcoin.

        Keywords：Bitcoin; Self-excitation; Asymmetric effects; Good jumps; bad jumps; High frequency data

 链接：https://doi.org/10.1016/j.econmod.2022.106124

教师简介

  张传海，数量经济学博士，中南财经政法大学金融学院副教授。主要研究领域为金融市场、金融计量和金融风险以及金融科技与大数据，研究论文发表于：经济研究、系统工程理论与实践、管理工程学报、数理统计与管理、Journal of Econometrics、Quantitative Finance、Pacific-Basin Finance Journal、Finance Research Letters、International Review of Financial Analysis和Economic Modelling等国内外期刊。