英文标题：
《The Effects of the Introduction of Bitcoin Futures on the Volatility of
Bitcoin Returns》
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作者：
Wonse Kim, Junseok Lee, Kyungwon Kang
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最新提交年份：
2019
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英文摘要：
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility after the introduction of Bitcoin futures to investigate their aggregate effects on the intraday volatility of Bitcoin. We then analyze the effects in more detail utilizing the discrete Fourier transform. We show that although the Bitcoin market became more volatile immediately after the introduction of Bitcoin futures, over time it has become more stable than it was before the introduction.
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中文摘要：
本文研究了比特币期货的推出对比特币日内波动性的影响。基于从四家加密货币交易所收集的一分钟价格数据，我们首先检查引入比特币期货后已实现波动率的变化，以研究其对比特币日内波动率的总体影响。然后，我们利用离散傅立叶变换更详细地分析这些影响。我们表明，虽然比特币期货推出后，比特币市场立即变得更加动荡，但随着时间的推移，比特币市场已经变得比推出前更加稳定。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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