Related papers: An analysis of high-frequency cryptocurrencies pri…
Currently cryptocurrencies and Decentralized Finance (DeFi), which enable financial services on public blockchains, represents a new growing trend in finance. In contrast to financial markets, ruled by traditional corporations, DeFi is…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
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…
As the pioneer of blockchain technology, Bitcoin is the most popular cryptocurrency to date. Given its dramatic price spikes (and crashes) along with the never-ending news from SEC regulations to security breaches, there seems to be a lack…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
Ethereum Improvement Proposal (EIP) 1559 was recently implemented to transform Ethereum's transaction fee market. EIP-1559 utilizes an algorithmic update rule with a constant learning rate to estimate a base fee. The base fee reflects…
Do online narratives leave a measurable imprint on prices in markets for digital or cultural goods? This paper evaluates how community attention and sentiment relate to valuation in major Ethereum NFT collections after accounting for time…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
In recent years, prominent blockchain systems such as Bitcoin and Ethereum have experienced explosive growth in transaction volume, leading to frequent surges in demand for limited block space and causing transaction fees to fluctuate by…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
Participation in permissionless blockchains results in competition over system resources, which needs to be controlled with fees. Ethereum's current fee mechanism is implemented via a first-price auction that results in unpredictable fees…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…
We study the problem of predicting the future performance of cryptocurrencies using social media data. We propose a new model to measure the engagement of users with topics discussed on social media based on interactions with social media…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
We study the problem of predicting whether the price of the 21 most popular cryptocurrencies (according to coinmarketcap.com) will go up or down on day d, using data up to day d-1. Our C2P2 algorithm is the first algorithm to consider the…
Using the Crypto Fear & Greed Index and Bitcoin daily data, we document that sentiment extremity predicts excess uncertainty beyond realized volatility. Extreme fear and extreme greed regimes exhibit significantly higher spreads than…
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major…