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We make several contributions that quantify the real-time hash rate and therefore the consensus of a blockchain. We show that by using only the hash value of blocks, we can estimate and measure the hash rate of all miners or individual…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
Prediction of stock prices has been a crucial and challenging task, especially in the case of highly volatile digital currencies such as Bitcoin. This research examineS the potential of using neural network models, namely LSTMs and GRUs, to…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
Bitcoin, with its ever-growing popularity, has demonstrated extreme price volatility since its origin. This volatility, together with its decentralised nature, make Bitcoin highly subjective to speculative trading as compared to more…
In this study, we wish to showcase the unique utility of large language models (LLMs) in financial semantic annotation and alpha signal discovery. Leveraging a corpus of company-related tweets, we use an LLM to automatically assign…
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
This paper introduces 3MEthTaskforce (https://3meth.github.io), a multi-source, multi-level, and multi-token Ethereum dataset addressing the limitations of single-source datasets. Integrating over 300 million transaction records, 3,880…
We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical…
We investigate the behaviour of cryptocurrencies using data for bitcoin, ethereum and ripple which account for over 70% of the cryptocurrency market. We demonstrate that $\alpha$-stable distribution is an appropriately sufficient model for…
Crypto Key Opinion Leaders (KOLs) shape Web3 narratives and retail investment behaviour. In volatile, high-risk markets, their credibility becomes a key determinant of their influence on followers. Yet prior research has focused on…
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propose AdaptiveTrend, a multi-component algorithmic trading…
The rapidly evolving cryptocurrency market presents unique challenges for investment due to its inherent volatility and evolving regulatory environment. Collective price movements can be exploited to construct diversified portfolios with…
This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a…
The Efficient Market Hypothesis (EMH) is widely accepted to hold true under certain assumptions. One of its implications is that the prediction of stock prices at least in the short run cannot outperform the random walk model. Yet, recently…
Background: Studies examining how sentiment on social media varies depending on timing and location appear to produce inconsistent results, making it hard to design systems that use sentiment to detect localized events for public health…
The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the…
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…
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…