Scholars@Duke
Jimmie Lenz

Jimmie Lenz

Executive In Residence in the Engineering Graduate and Professional Programs
Engineering Graduate and Professional Programs
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Selected Publications

A comparison of cryptocurrency volatility-benchmarking new and mature asset classes

Journal Article Financial Innovation · December 1, 2024 The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship between several mark ... Full text Cite

Pricing cryptocurrency options with machine learning regression for handling market volatility

Journal Article Economic Modelling · July 1, 2024 Pricing cryptocurrency options, crucial for risk management and market stabilization, presents unique challenges due to specific underlying dynamics like the inversion of the leverage effect. Classical option pricing models like Black–Scholes and Heston st ... Full text Cite

Assessing the resiliency of investors against cryptocurrency market crashes through the leverage effect

Journal Article Economics Letters · November 1, 2022 By analyzing a large cross-section of cryptocurrencies, we document the absence of the leverage effect in this market. Unlike the equity market, investors exhibit less panicking behavior and appear indifferent to negative returns in terms of market partici ... Full text Cite

Financial technologies on campus: The rise of FinTech in higher education

Conference 27th Annual Americas Conference on Information Systems, AMCIS 2021 · January 1, 2021 This panel is bringing together an international cohort of 5 academics offering an abundant vicinity of insights and foresights, stimulating audience engagement. In alignment to the identified conference themes, panel discussants and presenters share their ... Cite