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Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
This paper analyzes correlations and causalities between Bitcoin market indicators and Twitter posts containing emotional signals on Bitcoin. Within a timeframe of 104 days (November 23rd 2013 - March 7th 2014), about 160,000 Twitter posts…
Blockchain provides the unique and accountable channel for financial forensics by mining its open and immutable transaction data. A recent surge has been witnessed by training machine learning models with cryptocurrency transaction data for…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis largely deviates from the Gaussian…
With the recent prevalence of darkweb/deepweb (D2web) sites specializing in the trade of exploit kits and malware, malicious actors have easy-access to a wide-range of tools that can empower their offensive capability. In this study, we…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
Financial markets of emerging economies are vulnerable to extreme and cascading information spillovers, surges, sudden stops and reversals. With this in mind, we develop a new online early warning system (EWS) to detect what is referred to…
Bitcoin as a cryptocurrency has been one of the most important digital coins and the first decentralized digital currency. Deep neural networks, on the other hand, has shown promising results recently; however, we require huge amount of…
Blockchain technology, with implications in the financial domain, offers data in the form of large-scale transaction networks. Analyzing transaction networks facilitates fraud detection, market analysis, and supports government regulation.…
Bitcoin operates as a macroeconomic paradox: it combines a strictly predetermined, inelastic monetary issuance schedule with a stochastic, highly elastic demand for scarce block space. This paper empirically validates the Endogenous…
Money laundering is a global phenomenon with wide-reaching social and economic consequences. Cryptocurrencies are particularly susceptible due to the lack of control by authorities and their anonymity. Thus, it is important to develop new…
We develop a strong diagnostic for bubbles and crashes in bitcoin, by analyzing the coincidence (and its absence) of fundamental and technical indicators. Using a generalized Metcalfe's law based on network properties, a fundamental value…
Blockchain technology supports the generation and record of transactions, and maintains the fairness and openness of the cryptocurrency system. However, many fraudsters utilize smart contracts to create fraudulent Ponzi schemes for…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
Bitcoin is the first digital decentralized cryptocurrency that has shown a significant increase in market capitalization in recent years. The objective of this paper is to determine the predictable price direction of Bitcoin in USD by…
Cryptocurrency market is known for exhibiting significantly higher volatility than traditional asset classes. Efficient and adequate risk calculation is vital for managing risk exposures in such market environments where extreme price…
The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price…
Cryptocurrency markets are characterized by extreme volatility, making accurate forecasts essential for effective risk management and informed trading strategies. Traditional deterministic (point) forecasting methods are inadequate for…
The problem of anomaly detection has been studied for a long time. In short, anomalies are abnormal or unlikely things. In financial networks, thieves and illegal activities are often anomalous in nature. Members of a network want to detect…