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We extend the application and test the performance of a recently introduced volatility prediction framework encompassing LSTM and rough volatility. Our asset class of interest is cryptocurrencies, at the beginning of the "crypto-winter" in…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
This paper offers a thorough examination of the univariate predictability in cryptocurrency time-series. By exploiting a combination of complexity measure and model predictions we explore the cryptocurrencies time-series forecasting task…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the…
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
Value at risk and expected shortfall are increasingly popular tail risk measures in the financial risk management field. Both academia and financial institutions are working to improve tail risk forecasts in order to meet the requirements…
In May 2022, an apparent speculative attack, followed by market panic, led to the precipitous downfall of UST, one of the most popular stablecoins at that time. However, UST is not the only stablecoin to have been depegged in the past.…
Stablecoins serve as the fundamental infrastructure for Decentralised Finance (DeFi), acting as the primary bridge between fiat currencies and the digital asset ecosystem. While peg stability is well-documented, the structural role…
This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
This paper examines the time series properties of cryptocurrency assets, such as Bitcoin, using established econometric inference techniques, namely models of the GARCH family. The contribution of this study is twofold. I explore the time…
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum composite likelihood estimator. We implement our approach on a…
Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins…