Related papers: Bitcoin Volatility Forecasting with a Glimpse into…
We study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least $200$ weeks with an exponent…
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
Increasing popularity of trading digital assets can lead to significant delays in Blockchain networks when processing transactions. When transaction fees become miners' primary revenue, an imbalance in reward may lead to miners adopting…
This paper introduces CryptoAnalytics, a software toolkit for cryptocoins price forecasting with machine learning (ML) techniques. Cryptocoins are tradable digital assets exchanged for specific trading prices. While history has shown the…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
For a long time predicting, studying and analyzing financial indices has been of major interest for the financial community. Recently, there has been a growing interest in the Deep-Learning community to make use of reinforcement learning…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
Bitcoin, widely recognized as the first cryptocurrency, has shown increasing integration with traditional financial markets, particularly major U.S. equity indices, amid accelerating institutional adoption. This study examines how Bitcoin…
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…
We consider the hedging problem where a futures position can be automatically liquidated by the exchange without notice. We derive a semi-closed form for an optimal hedging strategy with dual objectives - to minimise both the variance of…
The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price…
This study introduces the concept of the forking effect in the cryptocurrency market,specifically focusing on the impact of forking events on bitcoin, also called parent coin.We use a modified exponential GARCH model to examine the…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…
The development of artificial intelligence has made significant contributions to the financial sector. One of the main interests of investors is price predictions. Technical and fundamental analyses, as well as econometric analyses, are…
This paper aims at solving FX market volatility modeling problem and finding the most becoming approach to this task. Validity of two competing approaches, classical econometric generalized conditional heteroscedasticity and mathematical…
In December 2017, two leading derivative exchanges, CBOE and CME, introduced the first regulated Bitcoin futures. Our aim is estimating their causal impact on Bitcoin volatility and trading volume. Employing a new causal approach, C-ARIMA,…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…