Related papers: CRIX an index for cryptocurrencies
Cryptocurrency is a form of digital currency using cryptographic techniques in a decentralized system for secure peer-to-peer transactions. It is gaining much popularity over traditional methods of payments because it facilitates a very…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
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…
Cryptocurrencies (or digital tokens, digital currencies, e.g., BTC, ETH, XRP, NEO) have been rapidly gaining ground in use, value, and understanding among the public, bringing astonishing profits to investors. Unlike other money and banking…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major…
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…
There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
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 regulatory framework of cryptocurrencies (and, in general, blockchain tokens) is of paramount importance. This framework drives nearly all key decisions in the respective business areas. In this work, a computational model is proposed…
Cryptocurrencies have garnered a lot of attention by governments and internet enthusiasts over the past three years. These currencies are celebrated for their security and speedy transactions in a modern era of digital commerce. Bitcoin was…
Cryptocurrencies are a digital medium of exchange with decentralized control that renders the community operating the cryptocurrency its sovereign. Leading cryptocurrencies use proof-of-work or proof-of-stake to reach consensus, thus are…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the…
"Code is law" is the funding principle of cryptocurrencies. The security, transferability, availability and other properties of a crypto-asset are determined by the code through which it is created. If code is open source, as it happens for…
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…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
We are witnessing the emergence of a new digital art market, the art market 3.0. Blockchain technology has taken on a new sector which is still not well known, Non-Fungible tokens (NFT). In this paper we propose a new methodology to build a…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…