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Currently cryptocurrencies and Decentralized Finance (DeFi), which enable financial services on public blockchains, represents a new growing trend in finance. In contrast to financial markets, ruled by traditional corporations, DeFi is…
The objective of this paper is to assess the performances of dimensionality reduction techniques to establish a link between cryptocurrencies. We have focused our analysis on the two most traded cryptocurrencies: Bitcoin and Ethereum. To…
In this work, we propose to apply a new model fusion and learning paradigm, known as Combinatorial Fusion Analysis (CFA), to the field of Bitcoin price prediction. Price prediction of financial product has always been a big topic in…
Explaining changes in bitcoin's price and predicting its future have been the foci of many research studies. In contrast, far less attention has been paid to the relationship between bitcoin's mining costs and its price. One popular notion…
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall…
Bitcoin is considered the most valuable currency in the world. Besides being highly valuable, its value has also experienced a steep increase, from around 1 dollar in 2010 to around 18000 in 2017. Then, in recent years, it has attracted…
The prediction of a binary sequence is a classic example of online machine learning. We like to call it the 'stock prediction problem,' viewing the sequence as the price history of a stock that goes up or down one unit at each time step. In…
This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
With emergence of blockchain technologies and the associated cryptocurrencies, such as Bitcoin, understanding network dynamics behind Blockchain graphs has become a rapidly evolving research direction. Unlike other financial networks, such…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
Social media signals have been successfully used to develop large-scale predictive and anticipatory analytics. For example, forecasting stock market prices and influenza outbreaks. Recently, social data has been explored to forecast price…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
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…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…