Inhalt Digitalization and Finance

Digitalization and Finance

Statistical Properties of Cryptocurrency Limit Order Books

Project Members: David Häfner

We currently analyze the order book dynamics in cryptocurrency markets. Some interesting properties about the behavior of market participants in stock markets have already been discovered in the literature, yielding insight into human behavior under competition (best execution price, time preference). Studying order books is especially interesting, as it focuses on the most granular level of data regarding human interaction on markets.

We currently investigate, whether we can find some seemingly universal laws discovered in stock markets in cryptocurrency markets (i.e. another asset class) as well, which would contribute to the robustness of these findings and provide further insight regarding human behavior in financial markets.

The accuracy of trade classification algorithms in cryptocurrency exchanges

Project Members: Muhsin Dalaslan, David Häfner, Dirk Schiereck

Trade classification algorithms are ubiquitous and used both in typical market microstructure studies and in adjacent research areas to gather information from the trade mechanism. Recent studies focus on high frequency trading (HFT) and the influence of technological development on the market behavior of the participants and the market itself. In our opinion focusing only on the

trading mechanism falls short. The development of new technologies has not only affected the trading mechanism, but has also enabled a new asset class, namely cryptocurrencies. In this paper we study the accuracy of the tick test and the Lee-Ready (1991) algorithm in determining trade sidedness in crypto currency exchanges. Our results show, that the accuracy of the tick test, as well as the Lee-Ready algorithm fall into the ranges given in the literature for the classic stock exchanges.

Digital Banking

Die Bankenlandschaft befindet sich inmitten eines großen Transformationsprozesses: Aufstrebende Finanztechnologie-Startups (kurz: FinTechs) bedrohen durch den Aufbau moderner Online Plattformen das Kerngeschäfsmodell etablierter Banken. Auch große digitale Player wie Google oder Amazon möchten sich Teile des Finanzgeschäfts einverleiben. Konsumenten erhalten durch digitale Technologien immer mehr Möglichkeiten, ihre Finanzgeschäfte unter Umgehung von Banken abzuwickeln. Doch wie sieht die Bankenlandschaft von morgen aus? Wie und über welche Intermediäre wickeln wir in Zukunft unsere Finanzgeschäfte ab?

Ausführliche Informationen zu Digitial Banking finden Sie auf der Seite Forschungssäule Digital Transformation

Research Coordinator

David Häfner