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Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
The cryptocurrency options market is notable for its high volatility and lower liquidity compared to traditional markets. These characteristics introduce significant challenges to traditional option pricing methodologies. Addressing these…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…
Gold and bitcoin are not new to us, but with limited cash and time, given only the past stream of the daily price of gold and bitcoin, it is a kind of new problem for us to develop a certain model and determine the best strategy to get the…
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil.…
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in…
In the complex landscape of traditional futures trading, where vast data and variables like real-time Limit Order Books (LOB) complicate price predictions, we introduce the FutureQuant Transformer model, leveraging attention mechanisms to…
We design three continuous--time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk--neutral producer and a representative risk--neutral trader. Depending on the model, the…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
We detect and quantify asymmetries in volatility spillovers using the realized semivariances of petroleum commodities: crude oil, gasoline, and heating oil. During the 1987--2014 period we document increasing spillovers from volatility…
An algorithmic stablecoin is a type of cryptocurrency managed by algorithms (i.e., smart contracts) to dynamically minimize the volatility of its price relative to a specific form of asset, e.g., US dollar. As algorithmic stablecoins have…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have…
Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…
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…
Digital currencies and cryptocurrencies have hesitantly started to penetrate the investors, and the next step will be the regulatory risk management framework. We examine the Value-at-Risk and Expected Shortfall properties for the major…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…
This study identifies the key factors influencing the price movements of major cryptocurrencies, Bitcoin, Binance Coin, Ethereum, Litecoin, Ripple, and Tether, using Bayesian networks (BNs). This study addresses two key challenges:…