All Outputs (2)

Adverse selection in cryptocurrency markets (2023)
Journal Article
Tiniç, M., Sensoy, A., Akyildirim, E., & Corbet, S. (2023). Adverse selection in cryptocurrency markets. Journal of Financial Research, 46(2), 497-546. https://doi.org/10.1111/jfir.12317

In this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse-selection component of the effective spread as a proxy fo... Read More about Adverse selection in cryptocurrency markets.

Forecasting high-frequency excess stock returns via data analytics and machine learning (2021)
Journal Article
Akyildirim, E., Nguyen, D. K., Sensoy, A., & Šikić, M. (2023). Forecasting high-frequency excess stock returns via data analytics and machine learning. European Financial Management, 29(1), 22-75. https://doi.org/10.1111/eufm.12345

Borsa Istanbul introduced data analytics to present additional information about its market conditions. We examine whether this product can be utilized via various machine learning methods to predict intraday excess returns. Accordingly, these analyt... Read More about Forecasting high-frequency excess stock returns via data analytics and machine learning.