Search Results - "Mestel, Roland"

Price discovery of cryptocurrencies: Bitcoin and beyond by Brauneis, Alexander, Mestel, Roland

“…Academic research on cryptocurrencies is almost exclusively directed towards Bitcoin. We extend existing literature by performing various tests on efficiency…”
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Inducing low-carbon investment in the electric power industry through a price floor for emissions trading by Brauneis, Alexander, Mestel, Roland, Palan, Stefan

“…Uncertainty about long-term climate policy is a major driving force in the evolution of the carbon market price. Since this price enters the investment…”
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A Good Beginning Makes a Good Market: The Effect of Different Market Opening Structures on Market Quality by Palan, Stefan, Mestel, Roland, Leopold-Wildburger, Ulrike, Hinterleitner, Gernot

“…This paper deals with the market structure at the opening of the trading day and its influence on subsequent trading. We compare a single continuous double…”
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Cryptocurrency-portfolios in a mean-variance framework by Brauneis, Alexander, Mestel, Roland

“…•We empirically analyze cryptocurrency-portfolios in a mean-variance framework.•A rich set of different parameterizations is evaluated in an out-of-sample…”
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How to measure the liquidity of cryptocurrency markets? by Brauneis, Alexander, Mestel, Roland, Riordan, Ryan, Theissen, Erik

“…•We compare high-frequency measures of liquidity with easy to compute low-frequency measures for the two cryptocurrencies BTC and ETH.•Low frequency liquidity…”
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Algorithmic trading and mini flash crashes: Evidence from Austria by Mestel, Roland, Steffen, Viktoria, Theissen, Erik

“…We use stock-day level data on the market share of algorithmic trading to analyze whether algorithmic trading affects the frequency of mini flash crashes in…”
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Bitcoin unchained: Determinants of cryptocurrency exchange liquidity by Brauneis, Alexander, Mestel, Roland, Riordan, Ryan, Theissen, Erik

“…We study bitcoin to US dollar (BTCUSD) liquidity and liquidity determinants using order book data from three large cryptocurrency exchanges. The BTCUSD market…”
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The lower the better? Revisiting minimum tick size by Mestel, Roland, Theissen, Erik, Uhlenkamp, Corinna

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What drives the liquidity of cryptocurrencies? A long-term analysis by Brauneis, Alexander, Mestel, Roland, Theissen, Erik

“…•We analyze the liquidity of 4 cryptocurrencies traded on 4 exchanges over a 4-year period.•Liquidity is compared across cryptocurrencies and across…”
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Mean-variance portfolio optimization based on ordinal information by Çela, Eranda, Hafner, Stephan, Mestel, Roland, Pferschy, Ulrich

“…We propose a new approach to integrate qualitative views, in particular ordering relations among expected asset returns, in the well-known Black-Litterman (BL)…”
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The anatomy of a fee change — evidence from cryptocurrency markets by Brauneis, Alexander, Mestel, Roland, Riordan, Ryan, Theissen, Erik

“…We analyze the impact on liquidity and trading activity of the introduction of maker fees (and simultaneous reduction of taker fees) on a leading…”
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Heroes, just for one day: The impact of Donald Trump’s tweets on stock prices by Machus, Tobias, Mestel, Roland, Theissen, Erik

“…We analyze the effect of Donald Trump’s tweets on individual stock returns. We use intraday (minute-by-minute) data in order to uncover causal effects of the…”
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Algorithmic trading and liquidity: Long term evidence from Austria by Mestel, Roland, Murg, Michael, Theissen, Erik

“…We analyze the relation between algorithmic trading and liquidity using a novel data set from the Austrian equity market. Our sample covers almost 4.5 years,…”
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Weather Value at Risk: On the Measurement of Noncatastrophic Weather Risk by Toeglhofer, Christoph, Mestel, Roland, Prettenthaler, Franz

“…An evaluation of weather risk entails two important objectives: indicating the economic impact of weather variability and climate change, and evaluating the…”
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Insider behavior under different market structures: experimental evidence on trading patterns, manipulation, and profitability by Hornung, Philipp, Leopold-Wildburger, Ulrike, Mestel, Roland, Palan, Stefan

“…We conduct laboratory experiments incorporating different market structures and insiders who compete with imperfectly informed traders. The insiders possess…”
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Does a cap on the carbon price have to be a cap on green investments? by Brauneis, Alexander, Mestel, Roland, Palan, Stefan

“…Policy makers and economists are discussing a regulatory ceiling for carbon prices, acting as a “safety valve” for the protection of regulated businesses from…”
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The relationship between budgetary expenditure and economic growth in Poland by Gurgul, Henryk, Lach, Łukasz, Mestel, Roland

“…This paper investigates the association between different kinds of budgetary expenditure and economic growth of Poland. The empirical analysis makes use of…”
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Integrating multiple sources of ordinal information in portfolio optimization by Çela, Eranda, Hafner, Stephan, Mestel, Roland, Pferschy, Ulrich

“…Active portfolio management tries to incorporate any source of meaningful information into the asset selection process. In this contribution we consider…”
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Price–volume relations of DAX companies by Gurgul, Henryk, Majdosz, Paweł, Mestel, Roland

“…This study provides empirical evidence of the joint dynamics between stock returns and trading volume using stock data of DAX companies. Contemporaneous as…”
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Joint Dynamics of Prices and Trading Volume on the Polish Stock Market by Gurgul, Henryk, Majdosz, Pawel, Mestel, Roland

“…This paper concerns the relationship between stock returns and trading volume. We use daily stock data of the Polish companies included in the WIG20 segment…”
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