Related papers: Cryptocurrency Valuation: An Explainable AI Approa…
The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states…
We apply empirical Bayes (EB) to mine data on 136,000 long-short strategies constructed from accounting ratios, past returns, and ticker symbols. This ``high-throughput asset pricing'' matches the out-of-sample performance of top journals…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
Two of the most important technological advancements currently underway are the advent of quantum technologies, and the transitioning of global financial systems towards cryptographic assets, notably blockchain-based cryptocurrencies and…
Bitcoin is the first implementation of what has become known as a 'public permissionless' blockchain. Guaranteeing security and protocol conformity through its elegant combination of cryptographic assurances and game theoretic economic…
Financial forecasting plays an important role in making informed decisions for financial stakeholders, specifically in the stock exchange market. In a traditional setting, investors commonly rely on the equity research department for…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Coin selection algorithms are a fundamental component of blockchain technology. In this paper, we present a comprehensive review of the existing coin selection algorithms utilized in unspent transaction output (UTXO)-based blockchains. We…
Explainability has been a challenge in AI for as long as AI has existed. With the recently increased use of AI in society, it has become more important than ever that AI systems would be able to explain the reasoning behind their results…
Algorithms used by organizations increasingly wield power in society as they decide the allocation of key resources and basic goods. In order to promote fairer, juster, and more transparent uses of such decision-making power, explainable…
We argue that the current POW based consensus algorithm of the Bitcoin network suffers from a fundamental economic discrepancy between the real world transaction (txn) costs incurred by miners and the wealth that is being transacted. Put…
Bitcoin is the first digital decentralized cryptocurrency that has shown a significant increase in market capitalization in recent years. The objective of this paper is to determine the predictable price direction of Bitcoin in USD by…
We motivate the study of the crypto asset class with eleven empirical facts, and study the drivers of crypto asset returns through the lens of univariate factors. We argue crypto assets are a new, attractive, and independent asset class. In…
This paper studies what Bitcoin (BTC) premiums in peer-to-peer (P2P) markets measure. Using transaction-level data from LocalBitcoins, we construct BTC premiums for 80 currencies relative to the U.S. dollar and relate them to blockchain…
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations. In this paper, we propose a partial…
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…
This study investigates the impact of data source diversity on the performance of cryptocurrency forecasting models by integrating various data categories, including technical indicators, on-chain metrics, sentiment and interest metrics,…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
Following the publication of Bitcoin's arguably most famous attack, selfish mining, various works have introduced mechanisms to enhance blockchain systems' game theoretic resilience. Some reward mechanisms, like FruitChains, have been shown…
Prediction of stock prices has been a crucial and challenging task, especially in the case of highly volatile digital currencies such as Bitcoin. This research examineS the potential of using neural network models, namely LSTMs and GRUs, to…