Related papers: An $\alpha$-Stable Approach to Modelling Highly Sp…
Given a mixture between two populations of coins, "positive" coins that each have -- unknown and potentially different -- bias $\geq\frac{1}{2}+\Delta$ and "negative" coins with bias $\leq\frac{1}{2}-\Delta$, we consider the task of…
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…
Multistable distributions, which have been introduced recently by Falconer, L\'evy V\'ehel and their co-authors, are natural generalizations of symmetric "alpha" stable distributions; roughly speaking, they are obtained by replacing the…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
A trading system is said to be {robust} if it generates a robust return regardless of market direction. To this end, a consistently positive expected trading gain is often used as a robustness metric for a trading system. In this paper, we…
This survey develops a dual analysis, consisting, first, in a bibliometric examination and, second, in a close literature review of all the scientific production around cryptocurrencies conducted in economics so far. The aim of this paper…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
This study evaluates the performance of 41 machine learning models, including 21 classifiers and 20 regressors, in predicting Bitcoin prices for algorithmic trading. By examining these models under various market conditions, we highlight…
In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of…
In this paper, we discuss the method of Bayesian regression and its efficacy for predicting price variation of Bitcoin, a recently popularized virtual, cryptographic currency. Bayesian regression refers to utilizing empirical data as proxy…
This paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets…
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…
The blockchain paradigm provides a mechanism for content dissemination and distributed consensus on Peer-to-Peer (P2P) networks. While this paradigm has been widely adopted in industry, it has not been carefully analyzed in terms of its…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
Blockchain technology shows significant results and huge potential for serving as an interweaving fabric that goes through every industry and market, allowing decentralized and secure value exchange, thus connecting our civilization like…
This research aims to demonstrate a dynamic cointegration-based pairs trading strategy, including an optimal look-back window framework in the cryptocurrency market, and evaluate its return and risk by applying three different scenarios. We…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…