Related papers: Covid-19 impact on cryptocurrencies: evidence from…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
Crypto enthusiasts claim that buying and holding crypto assets yields high returns, often citing Bitcoin's past performance to promote other tokens and fuel fear of missing out. However, understanding the real risk-return trade-off and what…
With the heightened volatility in stock prices during the Covid-19 pandemic, the need for price forecasting has become more critical. We investigated the forecast performance of four models including Long-Short Term Memory, XGBoost,…
Since the World Health Organization (WHO) characterized COVID-19 as a pandemic in March 2020, there have been over 600 million confirmed cases of COVID-19 and more than six million deaths as of October 2022. The relationship between the…
The advent of the COVID-19 pandemic has instigated unprecedented changes in many countries around the globe, putting a significant burden on the health sectors, affecting the macro economic conditions, and altering social interactions…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
COVID-19 is having a dramatic impact on research and researchers. The pandemic has underlined the severity of known challenges in research and surfaced new ones, but also accelerated the adoption of innovations and manifested new…
This thesis presents techniques to investigate transactions in uncharted cryptocurrencies and services. Cryptocurrencies are used to securely send payments online. Payments via the first cryptocurrency, Bitcoin, use pseudonymous addresses…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
In December 2017, two leading derivative exchanges, CBOE and CME, introduced the first regulated Bitcoin futures. Our aim is estimating their causal impact on Bitcoin volatility and trading volume. Employing a new causal approach, C-ARIMA,…
We consider Stochastic Volatility processes with heavy tails and possible long memory in volatility. We study the limiting conditional distribution of future events given that some present or past event was extreme (i.e. above a level which…
The changing nature of the COVID-19 pandemic has highlighted the importance of comprehensively considering its impacts and considering changes over time. Most COVID-19 related research addresses narrowly focused research questions and is…
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range…
Treatment protocols, disease understanding, and viral characteristics changed over the course of the COVID-19 pandemic; as a result, the risks associated with patient comorbidities and biomarkers also changed. We add to the conversation…
COVID-19 is a global health crisis that has had unprecedented, widespread impact on households across the United States and has been declared a global pandemic on March 11, 2020 by World Health Organization (WHO) [1]. According to Centers…
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…
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
This study proposes a novel methodological framework integrating a LightGBM regression model and genetic algorithm (GA) optimization to systematically evaluate the contribution of COVID-19-related indicators to Bitcoin return prediction.…
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual…