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One of the defining features of a cryptocurrency is that its ledger, containing all transactions that have evertaken place, is globally visible. As one consequenceof this degree of transparency, a long line of recent re-search has…
Modern datasets often consist of numerous samples with abundant features and associated timestamps. Analyzing such datasets to uncover underlying events typically requires complex statistical methods and substantial domain expertise. A…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
Envisioned to be the future of secured distributed systems, blockchain networks have received increasing attention from both the industry and academia in recent years. However, blockchain mining processes demand high hardware costs and…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…
With the development of blockchain technology, the cryptocurrency based on blockchain technology is becoming more and more popular. This gave birth to a huge cryptocurrency transaction network has received widespread attention. Link…
The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the…
This research systematically develops and evaluates various hybrid modeling approaches by combining traditional econometric models (ARIMA and ARFIMA models) with machine learning and deep learning techniques (SVM, XGBoost, and LSTM models)…
We propose a novel approach to marked Hawkes kernel inference which we name the moment-based neural Hawkes estimation method. Hawkes processes are fully characterized by their first and second order statistics through a Fredholm integral…
Blockchain-based cryptocurrencies prioritize transactions based on their fees, creating a unique kind of fee market. Empirically, this market has failed to yield stable equilibria with predictable prices for desired levels of service. We…
Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and…
This paper studies to what extent the cost of operating a proof-of-work blockchain is intrinsically linked to the cost of preventing attacks, and to what extent the underlying digital ledger security budgets are correlated with the…
We develop a general and practical framework to address the problem of the optimal design of dynamic fee mechanisms for multiple blockchain resources. Our framework allows to compute policies that optimally trade-off between adjusting…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Blockchain is a technology that provides a distributed ledger that stores previous records while maintaining consistency and security. Bitcoin is the first and largest decentralized electronic cryptographic system that uses blockchain…
A decade long thrive of cryptocurrency has shown its potential as a source of alternative-finance and the security and the robustness of the underpinning blockchain technology. However, most cryptocurrencies fail to show inimitability and…
Blockchain technology has the characteristics of decentralization, traceability and tamper proof, which creates a reliable decentralized transaction mode, further accelerating the development of the blockchain platforms. However, with the…
Bitcoin's global success has led to the rise of blockchain, but many systems labeled as "blockchain" deviate from its core principles, adding complexity to the ecosystem. This survey addresses the need for a comprehensive review and…