Related papers: Fear and Volatility in Digital Assets
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
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, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…
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…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Understanding the variations in trading price (volatility), and its response to exogenous information, is a well-researched topic in finance. In this study, we focus on finding stable and accurate volatility predictors for a relatively new…
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…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing…
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…