Related papers: Bitcoin Price Predictive Modeling Using Expert Cor…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
We study the problem of prediction of binary sequences with expert advice in the online setting, which is a classic example of online machine learning. We interpret the binary sequence as the price history of a stock, and view the predictor…
This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…
In this paper we apply a new approach of the string theory to the real financial market. It is direct extension and application of the work [1] into prediction of prices. The models are constructed with an idea of prediction models based on…
In recent years, bankruptcy forecasting has gained lot of attention from researchers as well as practitioners in the field of financial risk management. For bankruptcy prediction, various approaches proposed in the past and currently in…
This paper evaluates the performance of classical time series models in forecasting Bitcoin prices, focusing on ARIMA, SARIMA, GARCH, and EGARCH. Daily price data from 2010 to 2020 were analyzed, with models trained on the first 90 percent…
Bitcoin, one of the major cryptocurrencies, presents great opportunities and challenges with its tremendous potential returns accompanying high risks. The high volatility of Bitcoin and the complex factors affecting them make the study of…
The article is concerned with the problem of multi-step financial time series forecasting of Foreign Exchange (FX) rates. To address this problem, we introduce a regression network termed RegPred Net. The exchange rate to forecast is…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
Accurate prediction of price behavior in the foreign exchange market is crucial. This paper proposes a novel approach that leverages technical indicators and deep neural networks. The proposed architecture consists of a Long Short-Term…
We provide a comprehensive examination of the predictive performance of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and propose optimal weights for forecast combination schemes. We…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
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…
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 prediction of foreign exchange rates, such as the US Dollar (USD) to Bangladeshi Taka (BDT), plays a pivotal role in global financial markets, influencing trade, investments, and economic stability. This study leverages historical…
Regression methods are fundamental for scientific and technological applications. However, fitted models can be highly unreliable outside of their training domain, and hence the quantification of their uncertainty is crucial in many of…
Prediction markets are used in real life to predict outcomes of interest such as presidential elections. This paper presents a mathematical theory of artificial prediction markets for supervised learning of conditional probability…
Bitcoin's price has been described as following a power law (PL) in time, $P \sim t^{\beta}$ with $\hat\beta \approx 5.7$ over 2010-2026. We test this claim using the Clauset-Shalizi-Newman protocol applied to Bitcoin's tail-relevant…
Cryptocurrencies are digital tokens built on blockchain technology, with thousands actively traded on centralized exchanges (CEXs). Unlike stocks, which are backed by real businesses, cryptocurrencies are recognized as a distinct class of…