Related papers: An analysis of high-frequency cryptocurrencies pri…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
In the distributed systems landscape, Blockchain has catalyzed the rise of cryptocurrencies, merging enhanced security and decentralization with significant investment opportunities. Despite their potential, current research on…
The Ethereum blockchain network is a decentralized platform enabling smart contract execution and transactions of Ether (ETH) [1], its designated cryptocurrency. Ethereum is the second most popular cryptocurrency with a market cap of more…
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…
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propose AdaptiveTrend, a multi-component algorithmic trading…
Coined discrete-time quantum walks are studied using simple deterministic dynamical systems as coins whose classical limit can range from being integrable to chaotic. It is shown that a Loschmidt echo like fidelity plays a central role and…
Bitcoin and Ethereum transactions present one of the largest real-world complex networks that are publicly available for study, including a detailed picture of their time evolution. As such, they have received a considerable amount of…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of…
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are…
This study presents an innovative approach for predicting cryptocurrency time series, specifically focusing on Bitcoin, Ethereum, and Litecoin. The methodology integrates the use of technical indicators, a Performer neural network, and…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid orders across market capitalization tiers using high-frequency…
Blockchain-based cryptocurrencies have received extensive attention recently. Massive data has been stored on permission-less blockchains. The analysis on massive blockchain data can bring huge business values. However, the lack of…