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Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
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…
Bitcoin, one of the major cryptocurrencies, presents great opportunities and challenges with its tremendous potential returns accompanying high risks. The high volatility of Bitcoin and the complex factors affecting them make the study of…
Daily probability changes in Kalshi macro prediction markets forecast cryptocurrency realized volatility through two distinct channels. The monetary policy channel, measured by Fed rate repricing on KXFED contracts, predicts 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…
Bitcoin's price has been described as following a power law (PL) in time, $P \sim t^{\beta}$ with $\hat\beta \approx 5.7$ over 2010-2026. We test this claim using the Clauset-Shalizi-Newman protocol applied to Bitcoin's tail-relevant…
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…
Blockchain finance has become a part of the world financial system, most typically manifested in the attention to the price of Bitcoin. However, a great deal of work is still limited to using technical indicators to capture Bitcoin price…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
Time series forecasting is a key tool in financial markets, helping to predict asset prices and guide investment decisions. In highly volatile markets, such as cryptocurrencies like Bitcoin (BTC) and Ethereum (ETH), forecasting becomes more…
Bitcoin (BTC) is probably the most transparent payment network in the world, thanks to the full history of transactions available to the public. Though, Bitcoin is not a fully anonymous environment, rather a pseudonymous one, accounting for…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
This study investigates the transmission of monetary policy narratives to Bitcoin prices, distinguishing the impact of ex-ante expectations from ex-post interest rate implementation. We introduce a high-frequency Monetary Policy…
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing…
Understanding the emergence of universal features such as the stylized facts in markets is a long-standing challenge that has drawn much attention from economists and physicists. Most existing models, such as stochastic volatility models,…
Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the…