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This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that…
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
Stock return prediction is fundamental to financial decision-making, yet traditional time series models fail to capture the complex interdependencies between companies in modern markets. We propose the Full-State Graph Convolutional LSTM…
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…
In the dynamic landscape of the Web, we are witnessing the emergence of the Web3 paradigm, which dictates that platforms should rely on blockchain technology and cryptocurrencies to sustain themselves and their profitability.…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
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…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
The minimum spanning tree is used to study the process of market integration for a large group of national stock market indices. We show how the asset tree evolves over time and describe the dynamics of its normalized length, mean…
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…
We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the…
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…
We apply a method to filter relevant information from the correlation coefficient matrix by extracting a network of relevant interactions. This method succeeds to generate networks with the same hierarchical structure of the Minimum…
Given a spatio-temporal network (ST network) where edge properties vary with time, a time-sub-interval minimum spanning tree (TSMST) is a collection of minimum spanning trees of the ST network, where each tree is associated with a time…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…
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…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…