Related papers: Herding behavior in cryptocurrency markets
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of…
Cryptocurrencies and blockchain networks have attracted tremendous attention from their volatile price movements and the promise of decentralization. However, most projects run on business narratives with no way to test and verify their…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…
The paper highlights some commonalities between the development of cryptocurrencies and the evolution of ecosystems. Concepts from evolutionary finance embedded in toy models consistent with stylized facts are employed to understand what…
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…
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…
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 this paper we develop a linear expectile hidden Markov model for the analysis of cryptocurrency time series in a risk management framework. The methodology proposed allows to focus on extreme returns and describe their temporal evolution…
Optimization methods are used to determine equilibria of investment in cryptocurrencies. The basic assumptions involve existence of a core group (the "wealthy") that fears the loss of substantial assets through government seizure.…
Major cryptocurrency networks have relied on random peering choice rules for making connections in their peer-to-peer networks. Generally, these choices have good properties, particularly for open, permissionless networks. Random peering…
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…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
More than ten years ago the blockchain was acclaimed as the solution to overcome centralised trusted third parties for online payments. Through the years the crypto-movement changed and evolved, although decentralisation remained the core…
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
While many researchers adopt a sharding approach to design scaling blockchains, few works have studied the transaction placement problem incurred by sharding protocols. The widely-used hashing placement algorithm renders an overwhelming…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
Stable matching, a classical model for two-sided markets, has long been studied with little consideration for how each side's preferences are learned. With the advent of massive online markets powered by data-driven matching platforms, it…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…