Related papers: CRIX an index for cryptocurrencies
The goal of cryptocurrencies is decentralization. In principle, all currencies have equal status. Unlike traditional stock markets, there is no default currency of denomination (fiat), thus the trading pairs can be set freely. However, it…
Our analysis focuses on the stock cryptocurrency market, by studying a group of nineteen cryptocurrencies where their capitalisation is about 99% of the total market. Specifically, it is examined this group of cryptocurrencies for the…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
As the blockchain ecosystem gets more mature many businesses, investors, and entrepreneurs are seeking opportunities on working with blockchain systems and cryptocurrencies. A critical challenge for these actors is to identify the most…
Blockchain finance has become a part of the world financial system, most typically manifested in the attention to the price of Bitcoin. However, a great deal of work is still limited to using technical indicators to capture Bitcoin price…
We analyze the time series of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital market crash at the end of 2017 - beginning 2018. We introduce a methodology that combines topological data analysis with…
The evolution of cryptocurrency and decentralized finance (DeFi) marks a significant shift in the financial landscape, making it more accessible, inclusive, and participative for various societal groups. However, this transition from…
Stablecoins are one of the most widely capitalized type of cryptocurrency. However, their risks vary significantly according to their design and are often poorly understood. We seek to provide a sound foundation for stablecoin theory, with…
Cryptocurrencies are an emerging economic force, but there are concerns about their security. This is due, in part, to complex collusion cases and new threat vectors that could be missed by conventional security assessment strategies. To…
This paper examines the dynamics of the cryptocurrency market and proposes a novel blockchain-based protocol for real estate transactions. Our analysis includes a detailed review of price trends, volatility, and correlations within the…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
Cryptocurrency is a novel exploration of a form of currency that proposes a decentralized electronic payment scheme based on blockchain technology and cryptographic theory. While cryptocurrency has the security characteristics of being…
Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various…
Bitcoin and other similar digital currencies on blockchains are not ideal means for payment, because their prices tend to go up in the long term (thus people are incentivized to hoard those currencies), and to fluctuate widely in the short…
In traditional financial markets, yield curves are widely available for countries (and, by extension, currencies), financial institutions, and large corporates. These curves are used to calibrate stochastic interest rate models, discount…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We have developed a novel risk management measure called the concentration risk indicator (CRI). The CRI has been created to address drawbacks with prevailing methodologies and to supplement existing methods. Modified and adapted from the…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…