Related papers: Covid-19 impact on cryptocurrencies: evidence from…
Do online narratives leave a measurable imprint on prices in markets for digital or cultural goods? This paper evaluates how community attention and sentiment relate to valuation in major Ethereum NFT collections after accounting for time…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
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 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…
The COVID-19 pandemic serves as a grim reminder of the unexpected nature of these outbreaks and gives rise to a unique set of research challenges in a variety of fields. As people all over the world adjust to this new 'normal', with most…
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin transactions from automated algorithmic activity. Using…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion…
Purpose: In the context of a COVID pandemic in 2020-21, this paper attempts to capture the interconnectedness and volatility transmission dynamics. The nature of change in volatility spillover effects and time-varying conditional…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
Using an individual-level panel dataset from Japan covering the period 2016-2024, we examined how the COVID-19 pandemic, as an unanticipated public crisis, affected preferences for income redistribution. Furthermore, we investigated how the…
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…
The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion consistent with the traditional requirements of the…
We extend the application and test the performance of a recently introduced volatility prediction framework encompassing LSTM and rough volatility. Our asset class of interest is cryptocurrencies, at the beginning of the "crypto-winter" in…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also…
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper analyzes the prices, volumes, blockchain…
This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics…