Replication data for: Crypto Spreads and Realised Volatility

Description

This dataset contains replication code and documentation for the empirical analysis of liquidity and volatility in cryptocurrency markets.

Steps to reproduce

Steps to reproduce: Install required Python packages: pip install -r requirements.txt Obtain hourly OHLCV data for BTC, ETH, and XRP from publicly available cryptocurrency exchange APIs (e.g., Binance, Kraken) for the sample period January 2023 to January 2025. Place the processed dataset in: data/processed/panel_multi_assets_venues_macro_2023-01-01_to_2025-01-01.csv Run the variable construction script to compute realised volatility and liquidity proxies: python scripts/01_variable_construction.py Estimate the main panel regressions: python scripts/02_main_regressions.py Run horizon-based predictive regressions: python scripts/03_horizon_tests.py Export diagnostic tables (correlations and VIF): python scripts/04_export_tables.py The resulting tables will be saved in: results/tables/

Institutions

• Birmingham City University

  England, Birmingham

Categories

Licence