Related papers: Forecasting Bitcoin volatility spikes from whale t…
Bitcoin is the first digital decentralized cryptocurrency that has shown a significant increase in market capitalization in recent years. The objective of this paper is to determine the predictable price direction of Bitcoin in USD by…
Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500…
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
Aspiring to achieve an accurate Bitcoin price prediction based on people's opinions on Twitter usually requires millions of tweets, using different text mining techniques (preprocessing, tokenization, stemming, stop word removal), and…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
Cryptocurrencies such as Bitcoin and Ethereum have recently gained a lot of popularity, not only as a digital form of currency but also as an investment vehicle. Online marketplaces and exchanges allow users across the world to convert…
This paper evaluates the performance of classical time series models in forecasting Bitcoin prices, focusing on ARIMA, SARIMA, GARCH, and EGARCH. Daily price data from 2010 to 2020 were analyzed, with models trained on the first 90 percent…
In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of…
The dramatic adoption of Bitcoin and other cryptocurrencies in the USA has revolutionized the financial landscape and provided unprecedented investment and transaction efficiency opportunities. The prime objective of this research project…
Digital cryptocurrencies such as Bitcoin have exploded in recent years in both popularity and value. By their novelty, cryptocurrencies tend to be both volatile and highly speculative. The capricious nature of these coins is helped…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
With the increasing volume of high-frequency data in the information age, both challenges and opportunities arise in the prediction of stock volatility. On one hand, the outcome of prediction using tradition method combining stock technical…
Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based risk measure, is widely used for assessing tail risk and is…
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…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
To the naked eye, stock prices are considered chaotic, dynamic, and unpredictable. Indeed, it is one of the most difficult forecasting tasks that hundreds of millions of retail traders and professional traders around the world try to do…
Time series forecasting is crucial for decision-making across various domains, particularly in financial markets where stock prices exhibit complex and non-linear behaviors. Accurately predicting future price movements is challenging due to…
Cryptocurrencies' values often respond aggressively to major policy changes, but none of the existing indices informs on the market risks associated with regulatory changes. In this paper, we quantify the risks originating from new…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
Tether Limited has the sole authority to create (mint) and destroy (burn) Tether stablecoins (USDT). This paper investigates Bitcoin's response to USDT supply change events between 2014 and 2021 and identifies an interesting asymmetry…