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This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new opportunities. We compared our results with two…
Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of…
In the era of rapid technological advancement, social media platforms such as Twitter (X) have emerged as indispensable tools for gathering consumer insights, capturing diverse opinions, and understanding public attitudes. This research…
Do online narratives leave a measurable imprint on prices in markets for digital or cultural goods? This paper evaluates how community attention and sentiment relate to valuation in major Ethereum NFT collections after accounting for time…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
Tornado Cash is a decentralised mixer that uses cryptographic techniques to sever the on-chain trail between depositors and withdrawers. In practice, however, its anonymity can be undermined by user behaviour and operational quirks. We…
Cryptocurrency market is known for exhibiting significantly higher volatility than traditional asset classes. Efficient and adequate risk calculation is vital for managing risk exposures in such market environments where extreme price…
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…
National football teams increasingly issue tradeable blockchain-based fan tokens to strategically enhance fan engagement. This study investigates the impact of 2022 World Cup matches on the dynamic performance of each team's fan token. The…
Social and collaborative platforms emit multivariate time-series traces in which early interactions-such as views, likes, or downloads-are followed, sometimes months or years later, by higher impact like citations, sales, or reviews. We…
In this paper, an application of three GARCH-type models (sGARCH, iGARCH, and tGARCH) with Student t-distribution, Generalized Error distribution (GED), and Normal Inverse Gaussian (NIG) distribution are examined. The new development allows…
This paper evaluates and assesses the risk associated with capital allocation in cryptocurrencies (CCs). In this regard, we take a basket of 27 CCs and the CC index EWCI$^-$ into account. After considering a series of statistical tests we…
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility…
We estimate risk premia in the cross-section of cryptocurrency returns using the Giglio-Xiu (2021) three-pass approach, allowing for omitted latent factors alongside observed stock-market and crypto-market factors. Using weekly data on a…
In recent years, Bitcoin price prediction has attracted the interest of researchers and investors. However, the accuracy of previous studies is not well enough. Machine learning and deep learning methods have been proved to have strong…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
Financial market prediction on the basis of online sentiment tracking has drawn a lot of attention recently. However, most results in this emerging domain rely on a unique, particular combination of data sets and sentiment tracking tools.…
This study explores Bitcoin's value formation through the Granular Interaction Thinking Theory-Value Theory (GITT-VT). Rather than stemming from material utility or cash flows, Bitcoin's value arises from informational attributes and…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
We find that three factors: Dogecoin network externalities, momentum, and tweet sentiment that capture the time-series expected Dogecoin returns. Dogecoin returns are exposed to Dogecoin network factors. We construct the network factors to…