Related papers: ETF construction on CRIX
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
In this paper, we investigate whether mixing cryptocurrencies to a German investor portfolio improves portfolio diversification. We analyse this research question by applying a (mean variance) portfolio analysis using a toolbox consisting…
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…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
Cryptocurrency exchanges are frequently targeted and compromised by cyber-attacks, which may lead to significant losses for the depositors and closure of the affected exchanges. These risks threaten the viability of the entire public…
Utilizing graph analytics and learning has proven to be an effective method for exploring aspects of crypto economics such as network effects, decentralization, tokenomics, and fraud detection. However, the majority of existing research…
Trust mechanisms diverge between centralized and decentralized exchanges, representing distinct sociotechnical governance paradigms. However, quantifying trust dynamics and their redistribution between these architectures remains…
The electricity sector is facing the dual challenge of supporting increasing level of demand electrification while substantially reducing its carbon footprint. Among electricity demands, the energy consumption of cryptocurrency mining data…
Decentralized finance (DeFi) lacks centralized oversight, often resulting in heightened volatility. In contrast, centralized finance (CeFi) offers a more stable environment with institutional safeguards. Institutional backing can play a…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
This research mainly explores the characteristics of different strategies and whether VIX INDEX positively influences the investment portfolio in any period. Our portfolio has six significant cryptocurrencies, VIX INDEX and gold. We perform…
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…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of…
This study provides a practical introduction to high-frequency trading in blockchain-based currency markets. These types of markets have some specific characteristics that differentiate them from the stock markets, such as a large number of…