Related papers: Improved Bitcoin Price Prediction based on COVID-1…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
The ongoing coronavirus disease 2019 (COVID-19) pandemic has wreaked havoc worldwide with millions of lives claimed, human travel restricted and economic development halted. Leveraging city-level mobility and case data, our analysis shows…
COVID-19 has affected the world economy and the daily life routine of almost everyone. It has been a hot topic on social media platforms such as Twitter, Facebook, etc. These social media platforms enable users to share information with…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Treatment protocols, disease understanding, and viral characteristics changed over the course of the COVID-19 pandemic; as a result, the risks associated with patient comorbidities and biomarkers also changed. We add to the conversation…
The COVID-19 pandemic has severely affected many aspects of people's daily lives. While many countries are in a re-opening stage, some effects of the pandemic on people's behaviors are expected to last much longer, including how they choose…
Daily probability changes in Kalshi macro prediction markets forecast cryptocurrency realized volatility through two distinct channels. The monetary policy channel, measured by Fed rate repricing on KXFED contracts, predicts Bitcoin…
The COVID-19 pandemic has caused widespread devastation throughout the world. In addition to the health and economical impacts, there is an enormous emotional toll associated with the constant stress of daily life with the numerous…
This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic. We study two collections; 45 cryptocurrencies and 72…
The Coronavirus pandemic has created complex challenges and adverse circumstances. This research discovers public sentiment amidst problematic socioeconomic consequences of the lockdown, and explores ensuing four potential sentiment…
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility…
This paper revisits the discussion on determinants of budget balances and investigates the change in their effect in light of the COVID-19 crisis by utilizing data on 43 countries and a system generalized method of moments approach. The…
At the beginning of the COVID-19 outbreak in March, we observed one of the largest stock market crashes in history. Within the months following this, a volatile bullish climb back to pre-pandemic performances and higher. In this paper, we…
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market maker's supply. The main demand-side effects are that…
During the COVID-19 pandemic changes in human activity became widespread through official policies and organically in response to the virus's transmission, which in turn, impacted the environment and the economy. The pandemic has been…
The abrupt outbreak of the COVID-19 pandemic was the most significant event in 2020, which had profound and lasting impacts across the world. Studies on energy markets observed a decline in energy demand and changes in energy consumption…
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and the memory parameter of a fractional L\'evy-stable motion.…
This paper examines factors that influence prices of most common five cryptocurrencies such as Bitcoin, Ethereum, Dash, Litecoin, and Monero over 2010-2018 using weekly data. The study employs ARDL technique and documents several findings.…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…