Related papers: Conditional beta and uncertainty factor in the cry…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
Cryptocurrencies have gained significant attention in recent years due to their decentralized nature and potential for financial innovation. Thus, the ability to accurately predict its price has become a subject of great interest for…
Bitcoin is a "crypto currency", a decentralized electronic payment scheme based on cryptography which has recently gained excessive popularity. Scientific research on bitcoin is less abundant. A paper at Financial Cryptography 2012…
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
This paper offers a thorough examination of the univariate predictability in cryptocurrency time-series. By exploiting a combination of complexity measure and model predictions we explore the cryptocurrencies time-series forecasting task…
In this work, we propose to apply a new model fusion and learning paradigm, known as Combinatorial Fusion Analysis (CFA), to the field of Bitcoin price prediction. Price prediction of financial product has always been a big topic in…
This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction…
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
Nowadays fairness issues have raised great concerns in decision-making systems. Various fairness notions have been proposed to measure the degree to which an algorithm is unfair. In practice, there frequently exist a certain set of…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
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…
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…
We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data…
The influence of Commodity Trading Advisors (CTA) on the price process is explored with the help of a simple model. CTA managers are taken to be Kelly optimisers, which invest a fixed proportion of their assets in the risky asset and the…
Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here,…
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…
The author seeks to develop a model to alter the bid-offer spread, currently quoted by market makers, that varies with the market and trading conditions. The dynamic nature of financial markets and trading, as with the rest of social…
We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…