Related papers: Improved Bitcoin Price Prediction based on COVID-1…
Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
Governments across the world are currently facing the task of selecting suitable intervention strategies to cope with the effects of the COVID-19 pandemic. This is a highly challenging task, since harsh measures may result in economic…
We study the causal effects of lockdown measures on uncertainty and sentiment on Twitter. To this end, we exploit the quasi-experimental framework created by the first COVID-19 lockdown in a high-income economy--the unexpected Italian…
In this work, we investigate the impact of the COVID-19 pandemic on sovereign bond yields. We consider the temporal changes from financial correlations using network filtering methods. These methods consider a subset of links within the…
The advent of the COVID-19 pandemic has instigated unprecedented changes in many countries around the globe, putting a significant burden on the health sectors, affecting the macro economic conditions, and altering social interactions…
We leverage a recently published dataset of Amazon purchase histories, crowdsourced from thousands of US consumers, to study how online purchasing behaviors have changed over time, how changes vary across demographic groups, the impact of…
The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the results of robust estimation and inference on predictive…
The COVID-19 pandemic dramatically catalyzed the proliferation of e-shopping. The dramatic growth of e-shopping will undoubtedly cause significant impacts on travel demand. As a result, transportation modeller's ability to model e-shopping…
We investigate whether pandemic-induced contagion disamenities and income effects arising due to COVID-related unemployment adversely affected real estate prices of one- or two-family owner-occupied properties across New York City (NYC).…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
This paper analyses the relationship between BitCoin price and supply-demand fundamentals of BitCoin, global macro-financial indicators and BitCoin attractiveness for investors. Using daily data for the period 2009-2014 and applying…
The outbreak of the novel Coronavirus Disease (COVID-19) has greatly influenced people's daily lives across the globe. Emergent measures and policies (e.g., lockdown, social distancing) have been taken by governments to combat this highly…
The aim of this paper is to investigate the effect of a novel method called linear law-based feature space transformation (LLT) on the accuracy of intraday price movement prediction of cryptocurrencies. To do this, the 1-minute interval…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
In today's era of big data, deep learning and artificial intelligence have formed the backbone for cryptocurrency portfolio optimization. Researchers have investigated various state of the art machine learning models to predict Bitcoin…
COVID-19 has had a much larger impact on the financial markets compared to previous epidemics because the news information is transferred over the social networks at a speed of light. Using Twitter's API, we compiled a unique dataset with…
This study presents an innovative approach for predicting cryptocurrency time series, specifically focusing on Bitcoin, Ethereum, and Litecoin. The methodology integrates the use of technical indicators, a Performer neural network, and…
The COVID-19 pandemic, like many of the disease outbreaks that have preceded it, is likely to have a profound effect on mental health. Understanding its impact can inform strategies for mitigating negative consequences. In this work, we…
Comparing how different populations have suffered under COVID-19 is a core part of ongoing investigations into how public policy and social inequalities influence the number of and severity of COVID-19 cases. But COVID-19 incidence can vary…