Related papers: Covid-19 impact on cryptocurrencies: evidence from…
COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our…
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlations of the price returns, the average number of trades in…
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…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
This study measures the long memory of investor-segregated cash flows within the Korean equity market from 2015 to 2024. Applying detrended fluctuation analysis (DFA) to BUY, SELL, and NET aggregates, we estimate the Hurst exponent ($H$)…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
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…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
Mutating variants of COVID-19 have been reported across many US states since 2021. In the fight against COVID-19, it has become imperative to study the heterogeneity in the time-varying transmission rates for each variant in the presence of…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
This paper presents a large-scale analysis of the cryptocurrency community on Reddit, shedding light on the intricate relationship between the evolution of their activity, emotional dynamics, and price movements. We analyze over 130M posts…
We study the problem of predicting the future performance of cryptocurrencies using social media data. We propose a new model to measure the engagement of users with topics discussed on social media based on interactions with social media…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here,…
Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…