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"Code is law" is the funding principle of cryptocurrencies. The security, transferability, availability and other properties of a crypto-asset are determined by the code through which it is created. If code is open source, as it happens for…
As the pioneer of blockchain technology, Bitcoin is the most popular cryptocurrency to date. Given its dramatic price spikes (and crashes) along with the never-ending news from SEC regulations to security breaches, there seems to be a lack…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based analyses. To address these challenges, we construct scale…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actual block size and block time as the operational features of…
In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper,…
We empirically verify that the market capitalisations of coins and tokens in the cryptocurrency universe follow power-law distributions with significantly different values, with the tail exponent falling between 0.5 and 0.7 for coins, and…
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…
Time series forecasting is a key tool in financial markets, helping to predict asset prices and guide investment decisions. In highly volatile markets, such as cryptocurrencies like Bitcoin (BTC) and Ethereum (ETH), forecasting becomes more…
Cryptocurrencies gain trust in users by publicly disclosing the full creation and transaction history. In return, the transaction history faithfully records the whole spectrum of cryptocurrency user behaviors. This article analyzes and…
Cryptocurrencies (CCs) become more interesting for institutional investors' strategic asset allocation and will be a fixed component of professional portfolios in future. This asset class differs from established assets especially in terms…
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…
The world of cryptocurrency is not transparent enough though it was established for innate transparent tracking of capital flows. The most contributing factor is the violation of securities laws and scam in Initial Coin Offering (ICO) which…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid…
A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…