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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…
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by…
Utilizing graph analytics and learning has proven to be an effective method for exploring aspects of crypto economics such as network effects, decentralization, tokenomics, and fraud detection. However, the majority of existing research…
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…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Predicting the trend of Bitcoin, a highly volatile cryptocurrency, remains a challenging task. Accurate forecasting holds immense potential for investors and market participants dealing with High Frequency Trading systems. The purpose of…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
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…
Since the introduction of Bitcoin in 2008, many other cryptocurrencies have been introduced and gained popularity. Lack of interoperability and scalability amongst these cryptocurrencies was and still is, acting as a significant impediment…
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…
Investors commonly exhibit the disposition effect - the irrational tendency to sell their winning investments and hold onto their losing ones. While this phenomenon has been observed in many traditional markets, it remains unclear whether…
Inspired by Bitcoin, many different kinds of cryptocurrencies based on blockchain technology have turned up on the market. Due to the special structure of the blockchain, it has been deemed impossible to directly trade between traditional…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
The dramatic adoption of Bitcoin and other cryptocurrencies in the USA has revolutionized the financial landscape and provided unprecedented investment and transaction efficiency opportunities. The prime objective of this research project…
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…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…
In this paper we give an elementary analysis of economics of Bitcoin that combines the transaction demand by the consumers and the supply of hashrate by miners. We argue that the decreasing block reward will have no significant effect on…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
Cryptocurrencies are considered relevant assets and they are currently used as an investment or to carry out transactions. However, specific characteristics commonly associated with the cryptocurrencies such as irreversibility,…