Related papers: KryptoOracle: A Real-Time Cryptocurrency Price Pre…
Non-Fungible Token (NFT) is evolving with the rise of the cryptocurrency market and the development of blockchain techniques, which leads to an emerging NFT market that has become prosperous rapidly then followed by a cooldown.…
This paper investigates the dynamics of risk transmission in cryptocurrency markets and proposes a novel framework for volatility forecasting. The framework uncovers two key empirical facts: the asymmetric amplification of volatility…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
Blockchains are significantly easing trade finance, with billions of dollars worth of assets being transacted daily. However, analyzing these networks remains challenging due to the sheer volume and complexity of the data. We introduce a…
Prediction markets rely on liquidity to convert trades into informative prices, yet existing mechanisms fix liquidity ex ante. This restriction enforces a static trade-off between price responsiveness and worst-case loss despite inherently…
Blockchain based systems allow various kinds of financial transactions to be executed in a decentralized manner. However, these systems often rely on a trusted third party (oracle) to get correct information about the real-world events,…
Financial markets are complex environments that produce enormous amounts of noisy and non-stationary data. One fundamental problem is online portfolio selection, the goal of which is to exploit this data to sequentially select portfolios of…
Cryptocurrencies have transformed financial markets with their innovative blockchain technology and volatile price movements, presenting both challenges and opportunities for predictive analytics. Ethereum, being one of the leading…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of…
Interest surrounding cryptocurrencies, digital or virtual currencies that are used as a medium for financial transactions, has grown tremendously in recent years. The anonymity surrounding these currencies makes investors particularly…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Crowdfunding is an emerging finance platform for creators to fund their efforts by soliciting relatively small contributions from a large number of individuals using the Internet. Due to the unique rules, a campaign succeeds in trading only…
Online narratives spread unevenly across platforms, with content emerging on one site often appearing on others, hours, days or weeks later. Existing cross-platform information diffusion models often treat platforms as isolated systems,…
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propose AdaptiveTrend, a multi-component algorithmic trading…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
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…