Associate Professor Chuanhai Zhang, a researcher of the base, has published a collaborative paper titled "Good and bad self-excitation: Asymmetric self-exciting jumps in  Bitcoin returns" in the Economic Modelling.

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

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

Teacher profile

Zhang Chuanhai, PhD, Associate Professor, School of Finance, Zhongnan University of Economics and Law. His research interests include financial markets, financial measurement and financial risk, as well as Fintech and big data. His research papers have been published in: Economic Research, Systems Engineering Theory and Practice, Journal of Management Engineering, Mathematical Statistics and Management, Journal of Econometrics, Quantitative Finance, Pacific-Basin Finance Journal, Finance Research Letters, International Review of Financial Analysis and Economic Modelling and other domestic and foreign journals.