Related papers: Bitcoin Volatility Forecasting with a Glimpse into…
This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction…
Explaining changes in bitcoin's price and predicting its future have been the foci of many research studies. In contrast, far less attention has been paid to the relationship between bitcoin's mining costs and its price. One popular notion…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the observed model phenomena while also highlighting implicit…
Bitcoin uses blockchain technology to maintain transactions order and provides probabilistic guarantee to prevent double-spending, assuming that an attacker's computational power does not exceed %50 of the network power. In this paper, we…
In this paper we give an elementary analysis of economics of Bitcoin that combines the transaction demand by the consumers and the supply of hashrate by miners. We argue that the decreasing block reward will have no significant effect on…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
In Bitcoin system, transactions are prioritized according to transaction fees. Transactions without fees are given low priority and likely to wait for confirmation. Because the demand of micro payment in Bitcoin is expected to increase due…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
The rapid growth of the stock market has attracted many investors due to its potential for significant profits. However, predicting stock prices accurately is difficult because financial markets are complex and constantly changing. This is…
Prediction of stock prices has been a crucial and challenging task, especially in the case of highly volatile digital currencies such as Bitcoin. This research examineS the potential of using neural network models, namely LSTMs and GRUs, to…
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…
In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades. In this way, consideration of uncertainty is important…
As cryptocurrencies gain popularity and credibility, marketplaces for cryptocurrencies are growing in importance. Understanding the dynamics of these markets can help to assess how viable the cryptocurrnency ecosystem is and how design…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
Bitcoin is a digital currency and electronic payment system operating over a peer-to-peer network on the Internet. One of its most important properties is the high level of anonymity it provides for its users. The users are identified by…
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…
Volatility forecasting is crucial to risk management and portfolio construction. One particular challenge of assessing volatility forecasts is how to construct a robust proxy for the unknown true volatility. In this work, we show that the…
Since its 2009 genesis block, the Bitcoin network has processed >1.08 billion (B) transactions representing >8.72B BTC, offering rich potential for machine learning (ML); yet, its pseudonymity and obscured flow of funds inherent in its…