Related papers: An analysis of high-frequency cryptocurrencies pri…
The decentralization, redundancy, and pseudo-anonymity features have made permission-less public blockchain platforms attractive for adoption as technology platforms for cryptocurrencies. However, such adoption has enabled cybercriminals to…
Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
What happens to mining when the Bitcoin price changes, when there are mining supply shocks, the price of energy changes, or hardware technology evolves? We give precise answers based on the technical forces and incentives in the system. We…
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…
Cryptocurrencies have gained tremendous popularity over the past few years. The purpose of this study is to try to understand the factors that are driving cryptocurrency-related trading activities. Focusing on the well-established…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…
Our analysis focuses on the stock cryptocurrency market, by studying a group of nineteen cryptocurrencies where their capitalisation is about 99% of the total market. Specifically, it is examined this group of cryptocurrencies for the…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
People and companies move money with every financial transaction they make. We aim to understand how such activity gives rise to large-scale patterns of monetary flow. In this work, we trace the movement of e-money through the accounts of a…
There has been much interest in accurate cryptocurrency price forecast models by investors and researchers. Deep Learning models are prominent machine learning techniques that have transformed various fields and have shown potential for…
The objective of this paper is to assess the performances of dimensionality reduction techniques to establish a link between cryptocurrencies. We have focused our analysis on the two most traded cryptocurrencies: Bitcoin and Ethereum. To…
This thesis focuses on aspects related to the functioning of the gossip networks underlying three relatively popular cryptocurrencies: Ethereum, Nano and IOTA. We look at topics such as automatic discovery of peers when a new node joins the…
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance,…