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The Cross-Section of Crypto-Currencies as Financial Assets: An Overview
Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss ...
Crossing Network versus Dealer Market
Unique Equilibrium in the Allocation of Order Flow
The allocation of order flow to alternative trading systems can be understood as a game with strategic substitutes between buyers on the same side of the market, as well as one of positive network externalities. We consider ...
Estimating the Quadratic Covariation Matrix from Noisy Observations
Local Method of Moments and Efficiency
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...