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Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…

Methodology · Statistics 2021-04-14 Yan Gong , Raphaël Huser

The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…

Statistical Finance · Quantitative Finance 2021-07-02 Shinji Kakinaka , Ken Umeno

The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…

Applications · Statistics 2024-10-22 Beatrice Foroni , Luca Merlo , Lea Petrella

We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…

General Economics · Economics 2021-12-14 Tatsuru Kikuchi , Toranosuke Onishi , Kenichi Ueda

The class of $\alpha$-stable distributions with a wide range of applications in economics, telecommunications, biology, applied, and theoretical physics. This is due to the fact that it possesses both the skewness and heavy tails. Since…

Statistics Theory · Mathematics 2018-11-13 Mahdi Teimouri

In this paper we extend the known methodology for fitting stable distributions to the multivariate case and apply the suggested method to the modelling of daily cryptocurrency-return data. The investigated time period is cut into 10…

Applications · Statistics 2018-10-24 Szabolcs Majoros , András Zempléni

The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…

Statistical Finance · Quantitative Finance 2025-07-04 A. H. Nzokem

Recent studies about cryptocurrency returns show that its distribution can be highly-peaked, skewed, and heavy-tailed, with a large excess kurtosis. To accommodate all these peculiarities, we propose the asymmetric Laplace scale mixture…

Methodology · Statistics 2022-09-27 Antonio Punzo , Luca Bagnato

We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…

Theoretical Economics · Economics 2023-10-10 Emanuele Citera , Francesco De Pretis

Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…

Mathematical Finance · Quantitative Finance 2018-05-09 Carey Caginalp

Recently, cryptocurrencies have attracted a growing interest from investors, practitioners and researchers. Nevertheless, few studies have focused on the predictability of them. In this paper we propose a new and comprehensive study about…

Statistical Finance · Quantitative Finance 2020-04-27 Roy Cerqueti , Massimiliano Giacalone , Raffaele Mattera

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…

Statistical Finance · Quantitative Finance 2024-10-23 Zeyd Boukhers , Azeddine Bouabdallah , Cong Yang , Jan Jürjens

This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a…

Statistical Finance · Quantitative Finance 2020-07-08 Akihiko Noda

This paper explores the theory behind the rich and robust family of {\alpha}-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation methods including the quantiles,…

Economics · Quantitative Finance 2017-06-30 Michael Kateregga , Sure Mataramvura , David Taylor

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…

Statistical Finance · Quantitative Finance 2024-12-03 Anika Tahsin Meem

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…

Statistical Finance · Quantitative Finance 2022-12-05 Pasquale De Rosa , Valerio Schiavoni

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…

Statistical Finance · Quantitative Finance 2018-08-07 Aurelio F. Bariviera , Luciano Zunino , Osvaldo A. Rosso

This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…

Statistical Finance · Quantitative Finance 2022-11-15 Nick James , Max Menzies

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…

Statistical Finance · Quantitative Finance 2019-07-02 Maria Glenski , Tim Weninger , Svitlana Volkova

Stable distributions provide a flexible framework for modeling heavy-tailed and skewed data, with the stability index $\alpha$ quantifying tail heaviness. We propose a new semiparametric estimator for $\alpha$ that leverages the two-sum…

Methodology · Statistics 2025-08-19 Cornelis J. Potgieter , Jacques van Appel , Sudharshan Samaratunga
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