arXiv subjects

Matthew Brigida

Publications and source records attributed to Matthew Brigida.

2 recordsLinked to original sources

arXiv2026

Crypto Pricing with Hidden Factors

We estimate risk premia in the cross-section of cryptocurrency returns using the Giglio-Xiu (2021) three-pass approach, allowing for omitted latent factors alongside observed stock-market and crypto-market factors. Using weekly data on a broad universe of large cryptocurrencies, we find that crypto expected returns load on both crypto-specific factors and selected equity-industry factors associated with technology and profitability, consistent with increased integration between crypto and traditional markets. In addition, we study non-tradable state variables capturing investor sentiment (Fear and Greed), speculative rotation (Altcoin Season Index), and security shocks (hacked value scaled by market capitalization), which are new to the literature. Relative to conventional Fama-MacBeth estimates, the latent-factor approach yields materially different premia for key factors, highlighting the importance of controlling for unobserved risks in crypto asset pricing.

q-fin.PR↗

arXiv2020

Real-Time Detection of Volatility in Liquidity Provision

Previous research has found that high-frequency traders will vary the bid or offer price rapidly over periods of milliseconds. This is a benefit to fast traders who can time their trades with microsecond precision, however it is a cost to the average market participant due to increased trade execution price uncertainty. In this analysis we attempt to construct real-time methods for determining whether the liquidity of a security is being altered rapidly. We find a four-state Markov switching model identifies a state where liquidity is being rapidly varied about a mean value. This state can be used to generate a signal to delay market participant orders until the price volatility subsides. Over our sample, the signal would delay orders, in aggregate, over 0 to 10% of the trading day. Each individual delay would only last tens of milliseconds, and so would not be noticeable by the average market participant.

q-fin.TR↗