Related papers: Are cryptocurrencies becoming more interconnected?
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
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…
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…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
We investigate connectedness within and across two major groups or assets: i) five popular cryptocurrencies, and ii) six major asset classes plus two commonly employed risk factors. Granger-causality tests uncover six direct channels of…
Cryptocurrencies and Blockchain-based technologies are disrupting all markets. While the potential of such technologies remains to be seen, there is a current need to understand emergent patterns of user behavior and token adoption in order…
This paper identifies the cryptocurrency market crashes and analyses its dynamics using the complex network. We identify three distinct crashes during 2017-20, and the analysis is carried out by dividing the time series into pre-crash,…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
Since the introduction of Bitcoin in 2008, many other cryptocurrencies have been introduced and gained popularity. Lack of interoperability and scalability amongst these cryptocurrencies was and still is, acting as a significant impediment…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
The number of users approaching the world of cryptocurrencies exploded in the last years, and consequently the daily interactions on their underlying distributed ledgers have intensified. In this paper, we analyze the flow of these digital…
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…
Bitcoin has increased investment interests in people during the last decade. We have seen an increase in the number of posts on social media platforms about cryptocurrency, especially Bitcoin. This project focuses on analyzing user tweet…
Cryptocurrencies are gaining more popularity due to their security, making counterfeits impossible. However, these digital currencies have been criticized for creating a large carbon footprint due to their algorithmic complexity and…
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…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…
Crypto Currencies have recently gained enormous popularity amongst the general public. With each passing day, more and more companies are radically accepting crypto cur-rencies in their payment systems, paving way for an economic…
The concept of a blockchain has given way to the development of cryptocurrencies, enabled smart contracts, and unlocked a plethora of other disruptive technologies. But, beyond its use case in cryptocurrencies, and in network coordination…
The great influence of Bitcoin has promoted the rapid development of blockchain-based digital currencies, especially the altcoins, since 2013. However, most altcoins share similar source codes, resulting in concerns about code innovations.…