Related papers: An Experimental Study of Cryptocurrency Market Dyn…
The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the…
We examine how skewness interacts with kurtosis within the cryptocurrency market. We show that during the COVID-19 pandemic there are more clusters of observations around the two flanks, highlighting the presence of a volatile behavior.…
We present a methodology for evidence based design of cryptoeconomic systems, and elucidate a real-world example of how this methodology was used in the design of a blockchain network. This work provides a rare insight into the application…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…
Cryptocurrencies are gaining more popularity due to their security, making counterfeits impossible. However, these digital currencies have been criticized for creating a large carbon footprint due to their algorithmic complexity and…
Dark markets are commercial websites that use Bitcoin to sell or broker transactions involving drugs, weapons, and other illicit goods. Being illegal, they do not offer any user protection, and several police raids and scams have caused…
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting…
Bitcoin is the first and the most extensive decentralized electronic cryptocurrency system that uses blockchain technology. It uses a peer-to-peer (P2P) network to operate without a central authority and propagate system information such as…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market maker's supply. The main demand-side effects are that…
Cryptographic tokens are a new digital paradigm that can facilitate the establishment of economic incentives in digital ecoystems. Tokens can be leveraged for the coordination, optimization and governance of large networks at scale in a…
This work is the first study on the effects of attacks on cryptocurrencies as expressed in the sentiments and emotions of social media users. Our goals are to design the methodologies for the study including data collection, conduct…
Unlike suggested during their early years of existence, Bitcoin and similar cryptocurrencies in fact offer significantly less privacy as compared to traditional banking. A myriad of privacy-enhancing extensions to those cryptocurrencies as…
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynamic cryptocurrency portfolio strategy that integrates…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for the change in its investor base, and…