Related papers: Are Bitcoins price predictable? Evidence from mach…
This study investigates the influence of monetary policy and monetary policy uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from July 2010 to August 2023, and employing the Markov Switching Means VAR (MSM-VAR)…
Although conventional machine learning algorithms have been widely adopted for stock-price predictions in recent years, the massive volume of specific labeled data required are not always available. In contrast, meta-learning technology…
There has been much interest in accurate cryptocurrency price forecast models by investors and researchers. Deep Learning models are prominent machine learning techniques that have transformed various fields and have shown potential for…
Forecasting speculative stock prices is essential for effective investment risk management that drives the need for the development of innovative algorithms. However, the speculative nature, volatility, and complex sequential dependencies…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
Blockchain technology has changed how people think about how they used to store and trade their assets, as it introduced us to a whole new way to transact: using digital currencies. One of the major innovations of blockchain technology is…
In recent years, machine learning (ML) techniques have become a powerful tool for improving the accuracy of predictions and decision-making. Machine learning technologies have begun to penetrate all areas, including the real estate sector.…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
Transaction fee prediction in Bitcoin's ecosystem represents a crucial challenge affecting both user costs and miner revenue optimization. This study presents a systematic evaluation of six predictive models for forecasting Bitcoin…
This paper introduces a structural game-theoretic model to value decentralized digital assets like Bitcoin. Instead of relying on speculative beliefs, it frames the asset's price within a Rational-Expectations Security-Utility Nash…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
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…
With the rapid development of electricity markets, price volatility has significantly increased, making accurate forecasting crucial for power system operations and market decisions. Traditional linear models cannot capture the complex…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…