Related papers: Community Detection in Cryptocurrencies with Poten…
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…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
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…
We will present improvements to famous algorithms for community detection, namely Newman's spectral method algorithm and the Louvain algorithm. The Newman algorithm begins by treating the original graph as a single cluster, then repeats the…
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…
We consider the problem of constructing a portfolio that combines traditional financial assets with crypto assets. We show that despite the documented attributes of crypto assets, such as high volatility, heavy tails, excess kurtosis, and…
One key challenge in Social Network Analysis is to design an efficient and accurate community detection procedure as a means to discover intrinsic structures and extract relevant information. In this paper, we introduce a novel strategy…
In this paper, we consider networks consisting of a finite number of non-overlapping communities. To extract these communities, the interaction between pairs of nodes may be sampled from a large available data set, which allows a given node…
The stochastic block model and its variants have been a popular tool in analyzing large network data with community structures. In this paper we develop an efficient network cross-validation (NCV) approach to determine the number of…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
Discovering community structure in complex networks is a mature field since a tremendous number of community detection methods have been introduced in the literature. Nevertheless, it is still very challenging for practioners to determine…
Cybercriminals have been exploiting cryptocurrencies to commit various unique financial frauds. Covert cryptomining - which is defined as an unauthorized harnessing of victims' computational resources to mine cryptocurrencies - is one of…
Modern Portfolio Theory (MPT) prescribes how to maximise the return of an asset portfolio for a given level of risk. The optimal trade-off between return and variance defines the efficient frontier. Whether actual cryptoasset portfolios…
Unsupervised node clustering (or community detection) is a classical graph learning task. In this paper, we study algorithms, which exploit the geometry of the graph to identify densely connected substructures, which form clusters or…
The Collaborative Research Cycle (CRC) is a National Institute of Standards and Technology (NIST) benchmarking program intended to strengthen understanding of tabular data deidentification technologies. Deidentification algorithms are…
Cryptocurrency is a fast-moving space, with a continuous influx of new projects every year. However, an increasing number of incidents in the space, such as hacks and security breaches, threaten the growth of the community and the…
Cryptocurrencies, arguably the most prominent application of blockchains, have been on the rise with a wide mainstream acceptance. A central concept in cryptocurrencies is "mining pools", groups of cooperating cryptocurrency miners who…
We propose an ensemble clustering algorithm for graphs (ECG), which is based on the Louvain algorithm and the concept of consensus clustering. We validate our approach by replicating a recently published study comparing graph clustering…
Criminals are using every means available to launder the profits from their illegal activities into ostensibly legitimate assets. Meanwhile, most commercial anti-money laundering systems are still rule-based, which cannot adapt to the…