Related papers: Inferring short-term volatility indicators from Bi…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
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…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
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…
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations. In this paper, we propose a partial…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
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…
Bitcoin, as one of the most popular cryptocurrency, is recently attracting much attention of investors. Bitcoin price prediction task is consequently a rising academic topic for providing valuable insights and suggestions. Existing bitcoin…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
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…
This paper describes an architecture for predicting the price of cryptocurrencies for the next seven days using the Adaptive Network Based Fuzzy Inference System (ANFIS). Historical data of cryptocurrencies and indexes that are considered…
Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps. Bitcoin prices have also had extreme, unexpected crashes. We test the predictive power of…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…
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…
Forecasting stock and cryptocurrency prices is challenging due to high volatility and non-stationarity, influenced by factors like economic changes and market sentiment. Previous research shows that Echo State Networks (ESNs) can…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
The uncertainties in future Bitcoin price make it difficult to accurately predict the price of Bitcoin. Accurately predicting the price for Bitcoin is therefore important for decision-making process of investors and market players in the…
Daily probability changes in Kalshi macro prediction markets forecast cryptocurrency realized volatility through two distinct channels. The monetary policy channel, measured by Fed rate repricing on KXFED contracts, predicts Bitcoin…