Related papers: Pairwise and high-order dependencies in the crypto…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
As cryptocurrencies gain popularity and credibility, marketplaces for cryptocurrencies are growing in importance. Understanding the dynamics of these markets can help to assess how viable the cryptocurrnency ecosystem is and how design…
While correlation measures are used to discern statistical relationships between observed variables in almost all branches of data-driven scientific inquiry, what we are really interested in is the existence of causal dependence. Designing…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
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 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…
Granger causality can uncover the cause and effect relationships in financial networks. However, such networks can be convoluted and difficult to interpret, but the Helmholtz-Hodge-Kodaira decomposition can split them into a rotational and…
When network products and services become more valuable as their userbase grows (network effects), this tendency can become a major determinant of how they compete with each other in the market and how the market is structured. Network…
Tipping points are critical thresholds of parameters where tiny perturbations can lead to abrupt and large qualitative changes in the systems. Many real-world systems that exhibit tipping behavior can be represented as networks of…
Networks composed from both connectivity and dependency links were found to be more vulnerable compared to classical networks with only connectivity links. Their percolation transition is usually of a first order compared to the second…
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the microsecond stream of orders arriving at the exchange, driving…
One of the most well-established tools for modeling the brain as a complex system is the functional connectivity network, which examines the correlations between pairs of interacting brain regions. While powerful, the network model is…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to…
Higher-order networks effectively represent complex systems with group interactions. Existing methods usually overlook the relative contribution of group interactions (hyperlinks) of different sizes to the overall network structure. Yet,…
Complex systems, such as economic, social, biological, and ecological systems, usually feature interactions not only between pairwise entities but also among three or more entities. These multi-entity interactions are known as higher-order…
This paper presents a large-scale analysis of the cryptocurrency community on Reddit, shedding light on the intricate relationship between the evolution of their activity, emotional dynamics, and price movements. We analyze over 130M posts…
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…
In recent years, power grids have seen a surge in large cryptocurrency mining firms, with individual consumption levels reaching 700MW. This study examines the behavior of these firms in Texas, focusing on how their consumption is…