Applied Economics Letters · 2018 · 35 citations · 11 references
BusinessBusiness EconomicsEconomicsFinancial EconomicsFinancial MarketsPricing TheoryFrequency AnalysisMarket MicrostructureTime Series ClusteringTrend AnalysisClusteringDays Of The WeekPrice ClusteringTrading Day EffectsWhole Numbers
Following Urquhart (2017) who finds evidence of price clustering in Bitcoin, we answer the question of whether the documented price clustering in Bitcoin is driven by any given day-of-the-week. We find evidence that Bitcoin prices cluster around whole numbers more on Fridays and least on Mondays. We also show that Bitcoin price clustering around the top three most frequent two-digit decimals is primarily a Friday phenomenon.
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Robust Estimation of a Location Parameter
Peter J. Huber · The Annals of Mathematical Statistics · 1964 · 7K citations · Full text
Andrew Urquhart · Economics Letters · 2016 · 1.2K citations
Volatility estimation for Bitcoin: A comparison of GARCH models
Paraskevi Katsiampa · Economics Letters · 2017 · 1.1K citations · Full text
On the inefficiency of Bitcoin
Saralees Nadarajah, Jeffrey Chu · Economics Letters · 2016 · 615 citations · Full text