Related papers: ETF construction on CRIX
Accurate forecasting of Bitcoin (BTC) has always been a challenge because decentralized markets are non-linear, highly volatile, and have temporal irregularities. Existing deep learning models often struggle with interpretability and…
Bitcoin is a representative decentralized currency system. For the security of Bitcoin, fairness in the distribution of mining rewards plays a crucial role in preventing the concentration of computational power in a few miners. Here,…
A blockchain, such as Bitcoin, is an append-only, secure, transparent, distributed ledger. A fair blockchain is expected to have healthy metrics; high honest mining power, low processing latency, i.e., low wait times for transactions and…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…
Leveraged Exchange Traded Funds (LETFs), while extremely controversial in the literature, remain stubbornly popular with both institutional and retail investors in practice. While the criticisms of LETFs are certainly valid, we argue that…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Herding behavior has become a familiar phenomenon to investors, with potential dangers of both undervaluing and overvaluing assets, while also threatening market stability. This study contributes to the literature on herding behavior by…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
Blockchain technology is among the fastest-growing technologies in the world today. It has been adopted in diverse areas but mostly in financial systems, such as Bitcoin cryptocurrency. Therefore, it is a niche that has attracted interest…
We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model…
At present, cryptocurrencies have become a global phenomenon in financial sectors as it is one of the most traded financial instruments worldwide. Cryptocurrency is not only one of the most complicated and abstruse fields among financial…
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing the time-series of parameters, stylized patterns are…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study examines the advantages and challenges of investing in…
Synthetic time series are essential tools for data augmentation, stress testing, and algorithmic prototyping in quantitative finance. However, in cryptocurrency markets, characterized by 24/7 trading, extreme volatility, and rapid regime…
Using the Crypto Fear & Greed Index and Bitcoin daily data, we document that sentiment extremity predicts excess uncertainty beyond realized volatility. Extreme fear and extreme greed regimes exhibit significantly higher spreads than…
Ethereum is one of the most popular blockchain systems that supports more than half a million transactions every day and fosters miscellaneous decentralized applications with its Turing-complete smart contract machine. Whereas it remains…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…