Related papers: Dimensionality reduction for prediction: Applicati…
We introduce a new framework for dimension reduction in the context of high-dimensional regression. Our proposal is to aggregate an ensemble of random projections, which have been carefully chosen based on the empirical regression…
Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps. Bitcoin prices have also had extreme, unexpected crashes. We test the predictive power of…
Modern public blockchains like Ethereum rely on p2p networks to run distributed and censorship-resistant applications. With its wide adoption, it operates as a highly critical public ledger. On its transition to become more scalable and…
Bitcoin stands as a groundbreaking development in decentralized exchange throughout human history, enabling transactions without the need for intermediaries. By leveraging cryptographic proof mechanisms, Bitcoin eliminates the reliance on…
We present a collection of algorithms which utilize dimensional reduction to perform mesh refinement and study possibly singular solutions of time-dependent partial differential equations. The algorithms are inspired by constructions used…
Bitcoin price forecasting is characterized by extreme volatility and non-stationarity, often defying traditional univariate time-series models over long horizons. This paper addresses a critical gap by integrating Global M2 Liquidity,…
Artificial intelligence (AI) has demonstrated remarkable success across various applications. In light of this trend, the field of automated trading has developed a keen interest in leveraging AI techniques to forecast the future prices of…
With the increasing enrichment and development of the financial derivatives market, the frequency of transactions is also faster and faster. Due to human limitations, algorithms and automatic trading have recently become the focus of…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
Cryptocurrencies are distributed systems that allow exchanges of native tokens among participants, or the exchange of such tokens for fiat currencies in markets external to these public ledgers. The availability of their complete historical…
Ethereum clients execute transactions in a sequential order prescribed by the consensus protocol. This is a safe and conservative approach to blockchain transaction processing which forgoes running transactions in parallel even when doing…
Bitcoin is the world's first decentralized digital currency. Its main technical innovation is the use of a blockchain and hash-based proof of work to synchronize transactions and prevent double-spending the currency. While the qualitative…
A Blockchain is a global shared infrastructure where cryptocurrency transactions among addresses are recorded, validated and made publicly available in a peer- to-peer network. To date the best known and important cryptocurrency is the…
Since the inception of Bitcoin in 2009, the market of cryptocurrencies has grown beyond initial expectations as daily trades exceed $10 billion. As industries become automated, the need for an automated fraud detector becomes very apparent.…
The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent $H>0.5$, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with $10^4$ geometric fractional Brownian motion realisations is…
Cryptocurrencies aim to replicate physical cash in the digital realm while removing centralized and trusted intermediaries. Decentralization is achieved by the blockchain, a permanent public ledger that contains a record of every…
Blockchain has come a long way: a system that was initially proposed specifically for cryptocurrencies is now being adapted and adopted as a general-purpose transactional system. As blockchain evolves into another data management system,…
Bitcoin as well as other cryptocurrencies are all plagued by the impact from bifurcation. Since the marginal cost of bifurcation is theoretically zero, it causes the coin holders to doubt on the existence of the coin's intrinsic value. This…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
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…