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The blockchain paradigm provides a mechanism for content dissemination and distributed consensus on Peer-to-Peer (P2P) networks. While this paradigm has been widely adopted in industry, it has not been carefully analyzed in terms of its…
Extremal dependence describes the strength of correlation between the largest observations of two variables. It is usually measured with symmetric dependence coefficients that do not depend on the order of the variables. In many cases,…
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a…
The anomaly detection method presented by this paper has a special feature: it does not only indicate whether an observation is anomalous or not but also tells what exactly makes an anomalous observation unusual. Hence, it provides support…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
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…
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…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
The Ethereum blockchain plays a central role in the broader cryptocurrency ecosystem, enabling a wide range of financial activity through the use of smart contracts. This paper investigates how individual Ethereum wallets responded to the…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…
Since the inception of Bitcoin in 2009, the market of cryptocurrencies has grown beyond initial expectations as daily trades exceed $10 billion. As industries become automated, the need for an automated fraud detector becomes very apparent.…