Related papers: Statistical properties and multifractality of Bitc…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007.…
The third Bitcoin halving that took place in May 2020 cut down the mining reward from 12.5 to 6.25 BTC per block and thus slowed down the rate of issuance of new Bitcoins, making it more scarce. The fourth and most recent halving happened…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We review the so called selfish mining strategy in the Bitcoin network and compare its profitability to honest mining.We build a rigorous profitability model for repetition games. The time analysis of the attack has been ignored in the…
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted…
The null hypothesis of equality of distributions of functional data coming from $K$ samples is considered. The proposed test statistic is multivariate and its components are based on pairwise Cram\'{e}r von Mises comparisons of empirical…
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
This paper aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior…
Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
This study explores Bitcoin's value formation through the Granular Interaction Thinking Theory-Value Theory (GITT-VT). Rather than stemming from material utility or cash flows, Bitcoin's value arises from informational attributes and…
Bitcoin constructs temporal order internally rather than synchronizing to any external clock. Empirical evidence shows that its time evolution is non-continuous, probabilistic, and self-regulated. Block discovery follows a stochastic…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
Blockchain has been considered as an important technique to enable secure management of virtual network functions and network slices. To understand such capabilities of a blockchain, e.g. transaction confirmation time, demands a thorough…
The open availability of the entire history of the Bitcoin transactions opens up the possibility to study this system at an unprecedented level of detail. This contribution is devoted to the analysis of the mesoscale structural properties…
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of…
Multifractal Detrended Fluctuation Analysis stands out as one of the most reliable methods for unveiling multifractal properties, specially when real-world time series are under analysis. However, little is known about how several aspects,…
Daily probability changes in Kalshi macro prediction markets forecast cryptocurrency realized volatility through two distinct channels. The monetary policy channel, measured by Fed rate repricing on KXFED contracts, predicts Bitcoin…