Related papers: Characterizing Cryptocurrency market with Levy's s…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
Blockchain technology, which has been known by mostly small technological circles up until recently, is bursting throughout the globe, with a potential economic and social impact that could fundamentally alter traditional financial and…
Bitcoin derives a verifiable temporal order from probabilistic block discovery and cumulative proof-of-work rather than from a trusted global clock. We show that block arrivals exhibit stable exponential behavior across difficulty epochs,…
Understanding the variations in trading price (volatility), and its response to exogenous information, is a well-researched topic in finance. In this study, we focus on finding stable and accurate volatility predictors for a relatively new…
The class of $\alpha$-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since…
Digital currencies have become popular in the last decade due to their non-dependency and decentralized nature. The price of these currencies has seen a lot of fluctuations at times, which has increased the need for prediction. As their…
In some fields of applications of stable distributions, especially in economics, it appears, that data have distributions similar to stable in a large region, but do not have such heavy tails. Our aim in this note is to propose several…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
This paper offers a thorough examination of the univariate predictability in cryptocurrency time-series. By exploiting a combination of complexity measure and model predictions we explore the cryptocurrencies time-series forecasting task…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…
Traditional blockchain systems, such as Ethereum, typically rely on a \emph{single volatile cryptocurrency for transaction fees}. This leads to fluctuating transaction fee prices and limits the flexibility of users' payment options. To…
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be…
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, the GDP of individual countries and the scientific output of universities all show unusual but remarkably similar growth…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
Multiple types of fluctuations impact the collective dynamics of power grids and thus challenge their robust operation. Fluctuations result from processes as different as dynamically changing demands, energy trading, and an increasing share…
We consider a random walk on one-dimensional inhomogeneous graphs built from Cantor fractals. Our study is motivated by recent experiments that demonstrated superdiffusion of light in complex disordered materials, thereby termed L\'evy…
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…