Related papers: Using Networks and Partial Differential Equations …
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
Bitcoin is a decentralised digital currency that relies on cryptography rather than trusted third parties such as central banks for its security. Underpinning the operation of the currency is a peer-to-peer (P2P) network that facilitates…
This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation…
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlations of the price returns, the average number of trades in…
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to…
The goals of this paper are twofold: (1) to present a new method that is able to find linear laws governing the time evolution of Markov chains and (2) to apply this method for anomaly detection in Bitcoin prices. To accomplish these goals,…
The importance of considering related stocks data for the prediction of stock price movement has been shown in many studies, however, advanced graphical techniques for modeling, embedding and analyzing the behavior of interrelated stocks…
Since its advent in 2009, Bitcoin, a cryptography-enabled peer-to-peer digital payment system, has been gaining increasing attention from both academia and industry. An effort designed to overcome a cluster of bottlenecks inherent in…
Bitcoin is a cryptocurrency attracting a lot of interest both from the general public and researchers. There is an ongoing debate on the question of users' anonymity: while the Bitcoin protocol has been designed to ensure that the activity…
The year 2024 witnessed a major development in the cryptocurrency industry with the long-awaited approval of spot Bitcoin exchange-traded funds (ETFs). This innovation provides investors with a new, regulated path to gain exposure to…
Most current assessments use ex post proxies that miss uncertainty and fail to consistently capture the rapid change in bitcoin mining. We introduce a unified, ex ante statistical model that derives expected return, downside risk, and…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
Blockchain transaction networks are complex, with evolving temporal patterns and inter-node relationships. To detect illicit activities, we propose a hybrid GCN-GRU model that captures both structural and sequential features. Using real…
Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
Bitcoin as well as other cryptocurrencies are all plagued by the impact from bifurcation. Since the marginal cost of bifurcation is theoretically zero, it causes the coin holders to doubt on the existence of the coin's intrinsic value. This…
The Lightning Network is a so-called second-layer technology built on top of the Bitcoin blockchain to provide "off-chain" fast payment channels between users, which means that not all transactions are settled and stored on the main…
We construct and study the Google matrix of Bitcoin transactions during the time period from the very beginning in 2009 till April 2013. The Bitcoin network has up to a few millions of bitcoin users and we present its main characteristics…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…