首页|A Study of Bitcoin-Based Intraday Volatility Forecasting for Cross-Market Spreads
A Study of Bitcoin-Based Intraday Volatility Forecasting for Cross-Market Spreads
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NETL
NSTL
Taylor & Francis
This study provides a volatility estimation based on cross-market spreads by analyzing the behavior of Bitcoin cross-market arbitrageurs. This study crawls real-time price data from different exchanges for empirical analysis and verifies the accuracy and validity of the method employed by comparing it with the existing mainstream methods. The following conclusions are drawn: 1) The more exchanges that can be utilized, the smaller the Bitcoin price volatility, and the larger the cross-market spread, the better the estimation effect of the proposed method; and 2) Volume had no significant effect on the estimation using our method.
NETL
NSTL
Taylor & Francis
