Related papers: Structural Change Analysis of Active Cryptocurrenc…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
Cryptocurrency is a form of digital currency using cryptographic techniques in a decentralized system for secure peer-to-peer transactions. It is gaining much popularity over traditional methods of payments because it facilitates a very…
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…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
Crypto Currencies have recently gained enormous popularity amongst the general public. With each passing day, more and more companies are radically accepting crypto cur-rencies in their payment systems, paving way for an economic…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…
This paper investigates how changes in investor base is related to idiosyncratic volatility in cryptocurrency markets. For each cryptocurrency, we set change in its subreddit followers as a proxy for the change in its investor base, and…
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…
As one of the most important and famous applications of blockchain technology, cryptocurrency has attracted extensive attention recently. Empowered by blockchain technology, all the transaction records of cryptocurrencies are irreversible…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…