Event

Factor structure in cryptocurrency returns and volatility

Date and time
Wednesday, 11 December 2019
15.30 - 16.30

Location
Kedleston Road, Derby Campus
Kedleston Road
Derby
DE22 1GB

Room S109 and S110

The Enterprise Evaluation and Applied Economics Cluster has organised a seminar series for Autumn 2019, showcasing the research being undertaken by the Cluster, as part of the Centre for Business Improvement. The series brings together prominent economists to present their latest work in the field, and would be of interest to staff and students across the University.

We're delighted to welcome Professor Ian Marsh, Professor of Finance at City, University of London, as our third presenter.

In this seminar we will look at exchange rates of cryptocurrencies against Bitcoin and examine the properties of returns and volatilities. In particular, we will use principal components analysis to test for common factor structures. We will detail nine stylised facts with relevance for market participants and modellers of cryptocurrencies.

A image of the Bloomberg suite with financial data running.
A student working at a computer looking at financial data.

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