Related papers: Cryptocurrency Valuation: An Explainable AI Approa…
Cryptocurrencies, such as Bitcoin, are becoming increasingly popular, having been widely used as an exchange medium in areas such as financial transaction and asset transfer verification. However, there has been a lack of solutions that can…
The regulatory framework of cryptocurrencies (and, in general, blockchain tokens) is of paramount importance. This framework drives nearly all key decisions in the respective business areas. In this work, a computational model is proposed…
Artificial Intelligence (AI) is an important driving force for the development and transformation of the financial industry. However, with the fast-evolving AI technology and application, unintentional bias, insufficient model validation,…
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…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…
Deep Learning is evolving fast and integrates into various domains. Finance is a challenging field for deep learning, especially in the case of interpretable artificial intelligence (AI). Although classical approaches perform very well with…
First-price auctions have many desirable properties, including uniquely possessing some, like credibility. However, first-price auctions are also inherently non-truthful, and non-truthfulness may result in instability and inefficiencies.…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
This paper explores the journey of AI in finance, with a particular focus on the crucial role and potential of Explainable AI (XAI). We trace AI's evolution from early statistical methods to sophisticated machine learning, highlighting…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the…
Recent advances in Artificial Intelligence (AI) have made algorithmic trading play a central role in finance. However, current research and applications are disconnected information islands. We propose a generally applicable pipeline for…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Artificial Intelligence (AI) models have reached a very significant level of accuracy. While their superior performance offers considerable benefits, their inherent complexity often decreases human trust, which slows their application in…
Traditionally, assets are selected for inclusion in a portfolio (long or short) by human analysts. Teams of human portfolio managers (PMs) seek to weigh and balance these securities using optimisation methods and other portfolio…
Bitcoin uses blockchain technology to maintain transactions order and provides probabilistic guarantee to prevent double-spending, assuming that an attacker's computational power does not exceed %50 of the network power. In this paper, we…
We estimate risk premia in the cross-section of cryptocurrency returns using the Giglio-Xiu (2021) three-pass approach, allowing for omitted latent factors alongside observed stock-market and crypto-market factors. Using weekly data on a…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
The cryptocurrency market is a very huge market without effective supervision. It is of great importance for investors and regulators to recognize whether there are market manipulation and its manipulation patterns. This paper proposes an…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…