Related papers: Forecasting Cryptocurrencies Log-Returns: a LASSO-…
This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
In this paper, we discuss the method of Bayesian regression and its efficacy for predicting price variation of Bitcoin, a recently popularized virtual, cryptographic currency. Bayesian regression refers to utilizing empirical data as proxy…
In this paper we analyse the effects of information flows in cryptocurrency markets. We first define a cryptocurrency trading network, i.e. the network made using cryptocurrencies as nodes and the Granger causality among their weekly log…
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…
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…
This study extends the examination of the Efficient-Market Hypothesis in Bitcoin market during a five year fluctuation period, from September 1 2017 to September 1 2022, by analyzing 28,739,514 qualified tweets containing the targeted topic…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
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…
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations of these returns…
Emerging interest of trading companies and hedge funds in mining social web has created new avenues for intelligent systems that make use of public opinion in driving investment decisions. It is well accepted that at high frequency trading,…
Cryptocurrency has attracted significant attention. Considering the number of individuals investing in bitcoin, their motivations are comparatively less clear than traditional investment decisions. As of December 2020, the market has…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
Financial Sentiment Analysis (FSA) traditionally relies on human-annotated sentiment labels to infer investor sentiment and forecast market movements. However, inferring the potential market impact of words based on their human-perceived…
The research delves into the capabilities of a transformer-based neural network for Ethereum cryptocurrency price forecasting. The experiment runs around the hypothesis that cryptocurrency prices are strongly correlated with other…
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…
Bitcoin as a cryptocurrency has been one of the most important digital coins and the first decentralized digital currency. Deep neural networks, on the other hand, has shown promising results recently; however, we require huge amount of…
Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal…