Modeling Price Clusters in Cryptocurrencies Using an Intensity-based Hawkes Process

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We add to the literature on cryptocurrencies by studying the excitability and price clustering activities of Bitcoin, Ethereum and Ripple exchanges using an intensity based Hawkes process. The Hawkes process, a point process mathematically defined by Hawkes (1971), is an extension of the classical Poisson process that possesses the clustering property. We use the branching ratio as a proxy for market "reflexivity" in cryptocurrency market. We find that the process for Bitcoin has a higher endogeneity than the process for other currencies. Our empirical results are consistent with \nBaldwin et al. (2017).

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