Related papers: What drives bitcoin? An approach from continuous l…
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…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
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…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
The volatility and complex dynamics of cryptocurrency markets present unique challenges for accurate price forecasting. This research proposes a hybrid deep learning and machine learning model that integrates Long Short-Term Memory (LSTM)…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
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…
The cryptocurrency market is highly volatile compared to traditional financial markets. Hence, forecasting its volatility is crucial for risk management. In this paper, we investigate CryptoQuant data (e.g. on-chain analytics, exchange and…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power…
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…
Bitcoin is a decentralized, pseudonymous cryptocurrency that is one of the most used digital assets to date. Its unregulated nature and inherent anonymity of users have led to a dramatic increase in its use for illicit activities. This…
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 modern capital market the price of a stock is often considered to be highly volatile and unpredictable because of various social, financial, political and other dynamic factors. With calculated and thoughtful investment, stock market can…
The research delves into the capabilities of a transformer-based neural network for Ethereum cryptocurrency price forecasting. The experiment runs around the hypothesis that cryptocurrency prices are strongly correlated with other…