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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…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
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…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the market's expected volatility on the SP 500 Index, calculated and published by the Chicago Board Options Exchange (CBOE). It is also often referred to as…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
We introduce the Aggregated Systemic Risk Index (ASRI), comprising four weighted sub-indices: Stablecoin Concentration Risk (30%), DeFi Liquidity Risk (25%), Contagion Risk (25%), and Regulatory Opacity Risk (20%). Using data from DeFi…
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…
In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper,…
Artificial intelligence risks are multidimensional in nature, as the same risk scenarios may have legal, operational, and financial risk dimensions. With the emergence of new AI regulations, the state of the art of artificial intelligence…
This paper introduces CryptoAnalytics, a software toolkit for cryptocoins price forecasting with machine learning (ML) techniques. Cryptocoins are tradable digital assets exchanged for specific trading prices. While history has shown the…
This paper investigates the cryptocurrency network of the FTX exchange during the collapse of its native token, FTT, to understand how network structures adapt to significant financial disruptions, by exploiting vertex centrality measures.…
As generative AI systems are increasingly deployed in real-world applications, regulating multiple dimensions of model behavior has become essential. We focus on test-time filtering: a lightweight mechanism for behavior control that…
Having a perfect model to compute the optimal policy is often infeasible in reinforcement learning. It is important in high-stakes domains to quantify and manage risk induced by model uncertainties. Entropic risk measure is an exponential…
During initial iterations of training in most Reinforcement Learning (RL) algorithms, agents perform a significant number of random exploratory steps. In the real world, this can limit the practicality of these algorithms as it can lead to…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
In this paper we formulate a regression problem to predict realized volatility by using option price data and enhance VIX-styled volatility indices' predictability and liquidity. We test algorithms including regularized regression and…
Price feeds of securities is a critical component for many financial services, allowing for collateral liquidation, margin trading, derivative pricing and more. With the advent of blockchain technology, value in reporting accurate prices…
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynamic cryptocurrency portfolio strategy that integrates…
Predicting the trend of Bitcoin, a highly volatile cryptocurrency, remains a challenging task. Accurate forecasting holds immense potential for investors and market participants dealing with High Frequency Trading systems. The purpose of…