Department seminar by Simon TrimbornExport this event to calendar

Tuesday, January 4, 2022 — 7:00 PM EST

Please Note: This seminar will be given online.

Department seminar

Simon Trimborn
City University of Hong Kong

Link to join seminar: Hosted on Zoom

Efficiency, risk and fraud - The Bitcoin price discovery network under the microscope

Understanding multi-market interactions and identifying leading markets in the global financial network is of interest to investors, regulators and policymakers. We study the price discovery network between Bitcoin exchanges with a focus upon market efficiency, market manipulation identification and systemic risk. We found that the market became more efficient over the years and that the systemic risk in the market decreased as well. We identified an exchange linked to fraud and another one which shows similar patterns in the network, which calls at question if it might be used for fraudulent behaviour as well. To study price discovery networks we propose a model, called TriSNAR, which is capable of identifying the leading exchanges in the network. We study the asymptotic and finite sample properties of TriSNAR. Compared to the other methods, TriSNAR excels in terms of accuracy, runtime and its ability to discover the network's structure. This study improves the understanding of the price discovery in the Bitcoin market and proposes a model, TriSNAR, to study such multi-market networks which outperformed competing methods.

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