Related papers: Covid-19 impact on cryptocurrencies: evidence from…

The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…

In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…

COVID-19 has affected more than 223 countries worldwide and in the Post-COVID Era, there is a pressing need for non-invasive, low-cost, and highly scalable solutions to detect COVID-19. We develop a deep learning model to identify COVID-19…

We present a robust data-driven machine learning analysis of the COVID-19 pandemic from its early infection dynamics, specifically infection counts over time. The goal is to extract actionable public health insights. These insights include…

This paper proposes a cluster-based method to analyze the evolution of multivariate time series and applies this to the COVID-19 pandemic. On each day, we partition countries into clusters according to both their case and death counts. The…

This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…

Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…

The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…

Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…

The COVID-19 pandemic is an unprecedented global crisis that has impacted virtually everyone. We conducted a nationwide online longitudinal survey in the United States to collect information about the shifts in travel-related behavior and…

The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…

We study the long memory of order flow for each of three liquid currency pairs on a large electronic trading platform in the foreign exchange (FX) spot market. Due to the extremely high levels of market activity on the platform, and in…

We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…

We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…

Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…

This study analyzes the remittance transaction recorded on the XRP ledger for ETH and USD from July 2017 to Jun 2018, including the bubble period in early 2018. Using the Hodge decomposition, we estimate the ``loop flow'' in the…

In this paper we apply neural networks and Artificial Intelligence (AI) to historical records of high-risk cryptocurrency coins to train a prediction model that guesses their price. This paper's code contains Jupyter notebooks, one of which…

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…

In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…

The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…