References

Bibliography

Proportion of informed investors and their relevance for the price discovery process

[1]
M. T. Bohl, C. A. Salm, and M. Schuppli, 'Price discovery and investor structure in stock index futures', Journal of Futures Markets, vol. 31, no. 3, pp. 282-306, 2011, doi: 10.1002/fut.20469.

Price discovery across spot and futures markets in Bitcoin

[2]
S. Corbet, B. Lucey, M. Peat, and S. Vigne, 'Bitcoin Futures-What use are they?', Economics Letters, vol. 172, pp. 23-27, Nov. 2018, doi: 10.1016/j.econlet.2018.07.031.
[3]
J. Wu, K. Xu, X. Zheng, and J. Chen, 'Fractional cointegration in bitcoin spot and futures markets', Journal of Futures Markets, vol. 41, no. 9, pp. 1478-1494, 2021, doi: 10.1002/fut.22216.
[4]
D. G. Baur and T. Dimpfl, 'Price discovery in bitcoin spot or futures?', Journal of Futures Markets, vol. 39, no. 7, pp. 803-817, 2019, doi: 10.1002/fut.22004.

Methods

[5]
J. Gonzalo and C. Granger, 'Estimation of Common Long-Memory Components in Cointegrated Systems', Journal of Business & Economic Statistics, vol. 13, no. 1, pp. 27-35, 1995, doi: 10.2307/1392518.
[6]
D. Sornette and W.-X. Zhou, 'Non-parametric determination of real-time lag structure between two time series: the "optimal thermal causal path" method', Quantitative Finance, vol. 5, no. 6, pp. 577-591, Dec. 2005, doi: 10.1080/14697680500383763.