Related papers: An analysis of cryptocurrencies conditional cross …
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both…
"Code is law" is the funding principle of cryptocurrencies. The security, transferability, availability and other properties of a crypto-asset are determined by the code through which it is created. If code is open source, as it happens for…
The study of time series has motivated many researchers, particularly on the area of multivariate-analysis. The study of co-movements and dependency between random variables leads us to develop metrics to describe existing connection…
Blockchain and its application on cryptocurrency transactions have gathered a lot of attention and popularity since the birth of the pioneer Bitcoin in 2009. More than 1500 cryptocurrencies are currently circulated in the market. The…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous…
Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
In this lecture we clarify the basic difference between the correlation properties for systems characterized by small or large fluctuations. The concepts of correlation length, homogeneity scale, scale invariance and criticality are…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…
This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible…
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…
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…