Related papers: An $\alpha$-Stable Approach to Modelling Highly Sp…
We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…
Stablecoins - crypto tokens whose value is pegged to a real-world asset such as the US Dollar - are an important component of the DeFi ecosystem as they mitigate the impact of token price volatility. In crypto-backed stablecoins, the peg is…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
Cryptocurrency networks such as Bitcoin have emerged as a distributed alternative to traditional centralized financial transaction networks. However, there are major challenges in scaling up the throughput of such networks. Lightning…
The statistical distribution, when determined from an incomplete set of constraints, is shown to be suitable as host for encrypted information. We design an encoding/decoding scheme to embed such a distribution with hidden information. The…
Recent studies in big data analytics and natural language processing develop automatic techniques in analyzing sentiment in the social media information. In addition, the growing user base of social media and the high volume of posts also…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
The world economy is experiencing the novel adoption of distributed currencies that are free from the control of central banks. Distributed currencies suffer from extreme volatility, and this can lead to catastrophic implications during…
Consistent alpha generation, i.e., maintaining an edge over the market, underpins the ability of asset traders to reliably generate profits. Technical indicators and trading strategies are commonly used tools to determine when to…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
We consider the sale of a single item to multiple buyers by a revenue-maximizing seller. Recent work of Akbarpour and Li formalizes \emph{credibility} as an auction desideratum, and prove that the only optimal, credible, strategyproof…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
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…
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical…
The block maxima method in extreme-value analysis proceeds by fitting an extreme-value distribution to a sample of block maxima extracted from an observed stretch of a time series. The method is usually validated under two simplifying…
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…
The number of users approaching the world of cryptocurrencies exploded in the last years, and consequently the daily interactions on their underlying distributed ledgers have intensified. In this paper, we analyze the flow of these digital…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…