Related papers: Real-time Prediction of Bitcoin Bubble Crashes
Uncertainty propagation of large scale discrete supply chains can be prohibitive when a large number of events occur during the simulated period and discrete event simulations (DES) are costly. We present a time bucket method to approximate…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with finite-time singular crash hazard rates has been developed to describe the dynamics of financial bubbles and crashes. It has been applied successfully to a large…
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…
Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer verification. However, there has been a lack of solutions that can…
This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, we introduce a class of change detection algorithms based on…
We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to…
The rise of cryptocurrencies like Bitcoin, which enable transactions with a degree of pseudonymity, has led to a surge in various illicit activities, including ransomware payments and transactions on darknet markets. These illegal…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
Bitcoin and its decentralized computing paradigm for digital currency trading are one of the most disruptive technology in the 21st century. This paper presents a novel approach to developing a Bitcoin transaction forecast model,…
As the pioneer of blockchain technology, Bitcoin is the most popular cryptocurrency to date. Given its dramatic price spikes (and crashes) along with the never-ending news from SEC regulations to security breaches, there seems to be a lack…
Controller design faces a trade-off between robustness and performance, and the reliability of linear controllers has caused many practitioners to focus on the former. However, there is renewed interest in improving system performance to…
Financial fraud cases are on the rise even with the current technological advancements. Due to the lack of inter-organization synergy and because of privacy concerns, authentic financial transaction data is rarely available. On the other…
We study a rational expectation model of bubbles and crashes. The model has two components : (1) our key assumption is that a crash may be caused by local self-reinforcing imitation between noise traders. If the tendency for noise traders…
Over the past decade, blockchain technology has attracted a huge attention from both industry and academia because it can be integrated with a large number of everyday applications of modern information and communication technologies (ICT).…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
The Bitcoin Lightning Network (BLN), a so-called "second layer" payment protocol, was launched in 2018 to scale up the number of transactions between Bitcoin owners. In this paper, we analyse the structure of the BLN over a period of 18…