Related papers: An analysis of cryptocurrencies conditional cross …
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
The fluctuations and correlations of matrix elements of cross sections are investigated in open systems that are chaotic in the classical limit. The form of the correlation functions is discussed within a statistical analysis and tested in…
Digital money tokens have attracted the attention of financial institutions, central banks, regulators, international associations and fintechs. Their research and experimentation with digital money tokens has included creating innovative…
The internet era has generated a requirement for low cost, anonymous and rapidly verifiable transactions to be used for online barter, and fast settling money have emerged as a consequence. For the most part, e-money has fulfilled this…
Developments in the distributed ledger technology have led to new types of assets with a broad range of purposes. Although some classification frameworks for common instruments from traditional finance and some for these new, so called…
Bitcoin, widely recognized as the first cryptocurrency, has shown increasing integration with traditional financial markets, particularly major U.S. equity indices, amid accelerating institutional adoption. This study examines how Bitcoin…
A common assumption in cryptocurrency markets is a positive relationship between total-value-locked (TVL) and cryptocurrency returns. To test this hypothesis we examine whether the returns of TVL-sorted portfolios can be explained by common…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…
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…
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility…
Consider ordinary bond percolation on a finite or countably infinite graph. Let s, t, a and b be vertices. An earlier paper proved the (nonintuitive) result that, conditioned on the event that there is no open path from s to t, the two…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
Digital wallet as a software program or a digital device allows users to conduct various transactions. Hot and cold digital wallets are considered as two types of this wallet. Digital wallets need an online connection fall into the first…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate…
We introduce a novel class of systemic risk measures, the Vulnerability Conditional risk measures, which try to capture the "tail risk" of a risky position in scenarios where one or more market participants is experiencing financial…