Aleksey Kolokolov - Cryptocrashes
| Dates: | 17 April 2024 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Aleksey Kolokolov (Lecturer in Finance - Alliance Manchester Business School) will speak at the Probability seminar.
We examine a new nonparametric test for detecting short-lived locally explosive trends (drift bursts) in pure-jump processes. The new test is designed specifically to detect intraday flash crashes and gradual jumps in cryptocurrency prices recorded at a high frequency. Empirical analysis shows that drift bursts in bitcoin price occur, on average, every second day. Their economic importance is highlighted by showing that hedge funds holding cryptocurrency in their portfolios are exposed to a risk factor associated with the intensity of bitcoin crashes. On average, hedge funds do not profit from intraday bitcoin crashes and do not hedge against the associated risk.
Travel and Contact Information
Find event
Lewis Fry Richardson Room G.207
Alan Turing Building
Manchester
