Related papers: One model is not enough: heterogeneity in cryptocu…
We study diffusion processes in anomalous spacetimes regarded as models of quantum geometry. Several types of diffusion equation and their solutions are presented and the associated stochastic processes are identified. These results are…
This study identifies the key factors influencing the price movements of major cryptocurrencies, Bitcoin, Binance Coin, Ethereum, Litecoin, Ripple, and Tether, using Bayesian networks (BNs). This study addresses two key challenges:…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
We review our results for the dynamics of isolated many-body quantum systems described by one-dimensional spin-1/2 models. We explain how the evolution of these systems depends on the initial state and the strength of the perturbation that…
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…
This study investigates the impact of data source diversity on the performance of cryptocurrency forecasting models by integrating various data categories, including technical indicators, on-chain metrics, sentiment and interest metrics,…
We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and…
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality…
We propose a novel framework to analyse the velocity of money in terms of the contribution (MicroVelocity) of each individual agent, and to uncover the distributional determinants of aggregate velocity. Leveraging on complete publicly…
We offer a new perspective to the problem of characterizing mesoscopic fluctuations in the inter-plateau region of the integer quantum Hall transition. We found that longitudinal and transverse conductance fluctuations, generated by varying…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
We study the eigenstates of open maps whose classical dynamics is pseudointegrable and for which the corresponding closed quantum system has multifractal properties. Adapting the existing general framework developed for open chaotic quantum…
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:…
In rotationally constrained percolation models, a site of a percolation cluster could be occupied more than once from different directions due to the nature of the rotational constraint. A state variable $s_i$ is assigned to each lattice…
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge…
An approach is suggested for treating multiscale fluctuations in macromolecular systems. The emphasis is on the statistical properties of such fluctuations. The approach is illustrated by a macromolecular system with mesoscopic fluctuations…
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing the time-series of parameters, stylized patterns are…