Research topic
Cryptocurrency markets
We study how cryptocurrency markets price risk, how shocks spread across coins and how liquidity behaves in a market that trades around the clock.
Main questions
Which characteristics explain the cross-section of cryptocurrency returns, and does machine learning improve on linear models? Do uncertainty and geopolitical risk enter cryptocurrency prices? Which coins lead the market, and has Bitcoin lost its central position in the return network? Can we predict which coins will become "zombie" assets before they fade from trading?
Methods
Cross-sectional asset-pricing tests, machine-learning classifiers and return predictors, dynamic return and spillover networks, causality tests and intraday microstructure analysis.
Publications (18)
Digital assets: risks, regulations, mitigation
Teng, H.-W., Härdle, W.K., Osterrieder, J., Pele, D.T., Baals, L.J., Papavassiliou, V., Bolesta, K., Kabašinskas, A., Filipovska, O., Thomaidis, N.S., Moukas, A.-I., Goundar, S., Nasir, J.A., Weinberg, A.I., Arakelian, V., Truică, C.-O., Akar, M., Kabaklarlı, E., Apostol, E.-S., Iannario, M., Będowska-Sójka, B., Skaftadóttir, H.K., Yildirim, O., Shala, A., Pisoni, G., Coita, I.F., Korba, S., Hafner, C.M., Schwendner, P., Molnár, B., Xhumari, E. (2026). Financial Innovation, 12, 65.
PDF · Published version (open access)DOISSRN preprintCOST Action CA19130 FinAI
When markets never sleep: Intraday liquidity patterns and macroeconomic announcement effects in cryptocurrency trading
Mercik, A.R., Będowska-Sójka, B. (2026). SSRN Working Paper.
When size matters: Volatility-to-liquidity transmission in cryptocurrency networks
Będowska-Sójka, B., Mercik, A.R. (2026). SSRN Working Paper.
White paper on cryptocurrency indices
Gaman, S., Pele, D.T., Härdle, W.K., Będowska-Sójka, B. (2026). IDA-CL / Bucharest University of Economic Studies.
Cross-sectional interactions in cryptocurrency returns
Mercik, A., Będowska-Sójka, B., Karim, S., Zaremba, A. (2025). International Review of Financial Analysis, 97, 103809.
Early warning systems for cryptocurrency markets: Predicting ‘zombie’ assets using machine learning
Będowska-Sójka, B., Wójcik, P., Pele, D.T. (2025). The North American Journal of Economics and Finance, 81, 102543.
DOISSRN preprintNCN OPUS 21COST Action CA19130 FinAIMSCA Doctoral Network DIGITAL
Has bitcoin been dethroned too quickly? The cryptocurrency return networks
Będowska-Sójka, B., Wójcik, P., Giordano, S. (2025). Network Science, 13, e1.
Is there an impact of Ethereum Merge on the relationship between this cryptocurrency and energy portfolios?
Będowska-Sójka, B., Kliber, A. (2025). SSRN Working Paper.
Transmission dynamics in crypto markets: Comparing volatility and liquidity spillover networks
Będowska-Sójka, B. (2025). IDA-CL / Bucharest University of Economic Studies.
Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?
Będowska-Sójka, B., Kliber, A. (2024). Finance Research Letters, 67, 105852.
Machine learning and the cross-section of cryptocurrency returns
Cakici, N., Shahzad, S.J.H., Będowska-Sójka, B., Zaremba, A. (2024). International Review of Financial Analysis, 94, 103244.
Proof-of-work versus proof-of-stake coins as possible hedges against green and dirty energy
Kliber, A., Będowska-Sójka, B. (2024). Energy Economics, 138, 107820.
Uncertainty and cryptocurrency returns: A lesson from turbulent times
Będowska-Sójka, B., Górka, J., Hemmings, D., Zaremba, A. (2024). International Review of Financial Analysis, 94, 103330.
Can cryptocurrencies hedge oil price fluctuations? A pandemic perspective
Będowska-Sójka, B., Kliber, A. (2022). Energy Economics, 115, 106360.
Is geopolitical risk priced in the cross-section of cryptocurrency returns?
Long, H., Demir, E., Będowska-Sójka, B., Zaremba, A., Shahzad, S.J.H. (2022). Finance Research Letters, 49, 103131.
Is Bitcoin still a king? Relationships between prices, volatility and liquidity of cryptocurrencies during the pandemic
Będowska-Sójka, B., Kliber, A., Rutkowska, A. (2021). Entropy, 23(11), 1386.
Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether
Będowska-Sójka, B., Kliber, A. (2021). The North American Journal of Economics and Finance, 56, 101390.
Volatility and liquidity in cryptocurrency markets—The causality approach
Będowska-Sójka, B., Hinc, T., Kliber, A. (2020). Contemporary Trends and Challenges in Finance (Springer Proceedings in Business and Economics), 31–43.
Conference talks (22)
Early Warning Systems for Cryptocurrency Markets: Predicting 'Zombie' Assets Using Machine Learning
Frontiers in DeFi – Decentralized Finance, HTW Berlin, Berlin, Germany, May 2026
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
IX Wrocław Conference in Finance (WROFIN), Wrocław, Poland, May 2026
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
2nd Modern Finance Conference (MFC 2025), Warsaw, Poland, September 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
Future Finance Fest (3F) Conference, Vilnius, Lithuania, August 2025
Is There an Impact of Ethereum Merge on the Relationship Between This Cryptocurrency and Energy Portfolios?
World Finance Conference 2025, Valletta, Malta, July 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
ISAFE 2025 – Third Annual Meeting of the International Society for the Advancement of Financial Economics, Beijing, China, June 2025
Transmission Dynamics in Crypto Markets: Comparing Volatility and Liquidity Spillover Networks
4th CINSC/INFINITI 2025 Conference on International Sustainable and Climate Finance and International Financial Integration, Edinburgh, United Kingdom, June 2025
Is There an Impact of the Ethereum Merge on the Relationship Between Ethereum and Energy Portfolios?
1st Modern Finance Conference, Warsaw, Poland, September 2024
Interaction Effects in the Cross-Section of Cryptocurrency Returns
ISAFE 2024 – International Society for the Advancement of Financial Economics Conference, Pattaya, Thailand, July 2024
A Network Analysis of Cryptocurrency Returns
Women in Fintech and AI 4, Rethymno, Crete, Greece, June 2024
Do Uncertainty Indices Affect Cryptocurrency Uncertainty: A Lesson from Turbulent Times
Allied Social Science Associations (ASSA) Annual Meeting, San Antonio, TX, USA, January 2024
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
CFE-CMStatistics 2023, Berlin, Germany, December 2023
Is Bitcoin Dethroned Too Quickly? The Connectedness Between the Cryptocurrencies
1st Elsevier Finance Conference at FGV EBAPE, Rio de Janeiro, Brazil, November 2023
PoW vs PoS Coins as Possible Hedges Against Green and Dirty Energy
2nd Conference on International Finance, Sustainable and Climate Finance and Growth (CINSC), Ljubljana, Slovenia, June 2023
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
2nd Conference on International Finance, Sustainable and Climate Finance and Growth (CINSC), Ljubljana, Slovenia, June 2023
Do Uncertainty Indices Affect Cryptocurrencies? Lesson from the Turbulent Times
Sopot Conference on Modelling Contemporary Economies (Modelowanie i prognozowanie gospodarki narodowej), Sopot, Poland, May 2023
Zombies on the Cryptocurrency Market
COST Action CA19130 Conference, Brussels, Belgium, May 2023
PoW vs PoS Coins as Possible Hedges Against Green and Dirty Energy
2nd Workshop on Environmental Finance for the Common Good – Diversity Challenges for Sustainable Fintech, COST Action CA19130, Pavia, Italy, April 2023
Zombies on the Cryptocurrency Market
WROFIN Conference, Gola Dzierżoniowska, Poland, November 2022
Which Cryptocurrency Leads the Market? The Evidence from the Dynamic Networks
EURO 2022 Conference, Espoo, Finland, July 2022
Can Cryptocurrencies Hedge Oil Price Fluctuations? A Pandemic Perspective
Euro Working Group for Commodities and Financial Modelling & XIX International Conference on Finance and Banking (FIBA 2022), online, May 2022