Related papers: Bitcoin Volatility Forecasting with a Glimpse into…
The uncertainties in future Bitcoin price make it difficult to accurately predict the price of Bitcoin. Accurately predicting the price for Bitcoin is therefore important for decision-making process of investors and market players in the…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We infer the low-dimensional representations…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
The paper studies the linear model for Bitcoin price which includes regression features based on Bitcoin currency statistics, mining processes, Google search trends, Wikipedia pages visits. The pattern of deviation of regression model…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
Bitcoin has increased investment interests in people during the last decade. We have seen an increase in the number of posts on social media platforms about cryptocurrency, especially Bitcoin. This project focuses on analyzing user tweet…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
Understanding the emergence of universal features such as the stylized facts in markets is a long-standing challenge that has drawn much attention from economists and physicists. Most existing models, such as stochastic volatility models,…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
In recent years, Bitcoin price prediction has attracted the interest of researchers and investors. However, the accuracy of previous studies is not well enough. Machine learning and deep learning methods have been proved to have strong…
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations. In this paper, we propose a partial…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
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…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…