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As the pioneer of blockchain technology, Bitcoin is the most popular cryptocurrency to date. Given its dramatic price spikes (and crashes) along with the never-ending news from SEC regulations to security breaches, there seems to be a lack…
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but…
Cryptocurrency price dynamics are driven largely by microstructural supply demand imbalances in the limit order book (LOB), yet the highly noisy nature of LOB data complicates the signal extraction process. Prior research has demonstrated…
Cities are increasingly turning to large-scale data analysis and machine learning to make consequential decisions. While the algorithmic fairness community has focused on analyzing the risks and benefits associated with these complex…
In the dynamic cyber threat landscape, effective decision-making under uncertainty is crucial for maintaining robust information security. This paper introduces the Cyber Resilience Index (CRI), a threat-informed probabilistic approach to…
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be framed as a sequential decision problem; thus, Reinforcement…
Blockchain technology enables stakeholders to conduct trusted data sharing and exchange without a trusted centralized institution. These features make blockchain applications attractive to enhance trustworthiness in very different contexts.…
This paper presents a constrained policy gradient algorithm. We introduce constraints for safe learning with the following steps. First, learning is slowed down (lazy learning) so that the episodic policy change can be computed with the…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
Predicting cryptocurrency returns is notoriously difficult: price movements are driven by a fast-shifting blend of on-chain activity, news flow, and social sentiment, while labeled training data are scarce and expensive. In this paper, we…
The growing prominence of cryptocurrencies has triggered widespread public engagement and increased speculative activity, particularly on social media platforms. This study introduces a novel classification framework for identifying…
Every publicly traded company in the US is required to file an annual 10-K financial report, which contains a wealth of information about the company. In this paper, we propose an explainable deep-learning model, called FinBERT-XRC, that…
Despite the tremendous advances achieved over the past years by deep learning techniques, the latest risk prediction models for industrial applications still rely on highly handtuned stage-wised statistical learning tools, such as gradient…
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…
Conformal risk control (CRC) is a recently proposed technique that applies post-hoc to a conventional point predictor to provide calibration guarantees. Generalizing conformal prediction (CP), with CRC, calibration is ensured for a set…
Blockchain technology relies on decentralization to resist faults and attacks while operating without trusted intermediaries. Although industry experts have touted decentralization as central to their promise and disruptive potential, it is…
Cryptocurrency trading represents a nascent field of research, with growing adoption in industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are accessible with a simple Google search and update frequently,…
This paper describes an architecture for predicting the price of cryptocurrencies for the next seven days using the Adaptive Network Based Fuzzy Inference System (ANFIS). Historical data of cryptocurrencies and indexes that are considered…
With the increasing use of artificial intelligence (AI) services and products in recent years, issues related to their trustworthiness have emerged and AI service providers need to be prepared for various risks. In this policy…
A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…