Related papers: Characterizing Cryptocurrency market with Levy's s…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one side and their tight connection to the underlying blockchain…
There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the…
We develop a model of stable assets, including non-custodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within public blockchain settings. We derive fundamental results…
The non-fungible token (NFT) is an emergent type of cryptocurrency that has garnered extensive attention since its inception. The uniqueness, indivisibility and humanistic value of NFTs are the key characteristics that distinguish them from…
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
A Levy walk is a non-Markovian stochastic process in which the elementary steps of the walker consist of motion with constant speed in randomly chosen directions and for a random period of time. The time of flight is chosen from a…
A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
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…
Rapidly growing distributed ledger technologies (DLTs) have recently received attention among researchers in both industry and academia. While a lot of existing analysis (mainly) of the Bitcoin and Ethereum networks is available, the lack…
This paper illustrates a procedure for fitting financial data with $\alpha$-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we…
In quantitative finance, we often model asset prices as a noisy Ito semimartingale. As this model is not identifiable, approximating by a time-changed Levy process can be useful for generative modelling. We give a new estimate of the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
In a given market, financial covariances capture the intra-stock correlations and can be used to address statistically the bulk nature of the market as a complex system. We provide a statistical analysis of three SP500 covariances with…