Related papers: CRIX an index for cryptocurrencies
We present an automated market-making (AMM) cross-settlement mechanism for digital assets on interoperable blockchains, focusing on central bank digital currencies (CBDCs) and stable coins. We develop an innovative approach for generating…
The growth potential of a crypto(currency) project can be measured by the use cases spurred by the underlying technology. However, these projects are usually distributed, with a weak feedback schemes. Hence, a metric that is widely used as…
Proof-of-work computation used in cryptocurrencies has witnessed significant growth in the U.S. and many other regions around the world. One of the most significant bottlenecks for the scalable deployment of such computation is its energy…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
The electricity sector is facing the dual challenge of supporting increasing level of demand electrification while substantially reducing its carbon footprint. Among electricity demands, the energy consumption of cryptocurrency mining data…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
Crypto-assets are a main segment of electronic markets, with growing trade volume and market share, yet there's no unified and comprehensive asset level taxonomy framework. This paper develops a multidimensional taxonomy for crypto-assets…
We exploit a recent computational framework to model and detect financial crises in stock markets, as well as shock events in cryptocurrency markets, which are characterized by a sudden or severe drop in prices. Our method manages to detect…
This study explores the use of Recurrent Neural Networks (RNN) for real-time cryptocurrency price prediction and optimized trading strategies. Given the high volatility of the cryptocurrency market, traditional forecasting models often fall…
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…
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…
Cryptocurrencies such as Bitcoin are realized using distributed systems and hence critically rely on the performance and security of the interconnecting network. The requirements on these networks and their usage, however can differ…
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…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…
In today's world of globalized commerce, cross-market recommendation systems (CMRs) are crucial for providing personalized user experiences across diverse market segments. However, traditional recommendation algorithms have difficulties…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…