Related papers: Herding behavior in cryptocurrency markets
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
Utilizing graph analytics and learning has proven to be an effective method for exploring aspects of crypto economics such as network effects, decentralization, tokenomics, and fraud detection. However, the majority of existing research…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
Investigations of social influence in collective decision-making have become possible due to recent technologies and platforms that record interactions in far larger groups than could be studied before. Herding and its impact on…
Bitcoin and other similar digital currencies on blockchains are not ideal means for payment, because their prices tend to go up in the long term (thus people are incentivized to hoard those currencies), and to fluctuate widely in the short…
The behaviour of Bitcoin owners is reflected in the structure and the number of bitcoin transactions encoded in the Blockchain. Likewise, the behaviour of Bitcoin traders is reflected in the formation of bullish and bearish trends in the…
Inspired by Bitcoin, many different kinds of cryptocurrencies based on blockchain technology have turned up on the market. Due to the special structure of the blockchain, it has been deemed impossible to directly trade between traditional…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
In this paper, we consider a variety of multi-state Hidden Markov models for predicting and explaining the Bitcoin, Ether and Ripple returns in the presence of state (regime) dynamics. In addition, we examine the effects of several…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
Cryptocurrencies such as Bitcoin are realized using distributed systems and hence critically rely on the performance and security of the interconnecting network. The requirements on these networks and their usage, however can differ…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
Building on similarities between earthquakes and extreme financial events, we use a self-organized criticality-generating model to study herding and avalanche dynamics in financial markets. We consider a community of interacting investors,…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
"Code is law" is the funding principle of cryptocurrencies. The security, transferability, availability and other properties of a crypto-asset are determined by the code through which it is created. If code is open source, as it happens for…
We study a game-theoretic model of blockchain mining economies and show that griefing, a practice according to which participants harm other participants at some lesser cost to themselves, is a prevalent threat at its Nash equilibria. The…