Related papers: NFT Bubbles
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
Taking informed decisions, namely acting rationally, is an individual attitude of paramount relevance in nature and human societies. In this work, we study how rationality spreads in a community. To this end, through an agent-based model,…
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…
The rapid growth in popularity and hype surrounding digital assets such as art, video, and music in the form of non-fungible tokens (NFTs) has made them a lucrative investment opportunity, with NFT-based sales surpassing $25B in 2021 alone.…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
Bitcoin is the first and highest valued cryptocurrency that stores transactions in a publicly distributed ledger called the blockchain. Understanding the activity and behavior of Bitcoin actors is a crucial research topic as they are…
With online payment platforms being ubiquitous and important, fraud transaction detection has become the key for such platforms, to ensure user account safety and platform security. In this work, we present a novel method for detecting…
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…
Blockchains are gaining momentum due to the interest of industries and people in \emph{decentralized applications} (Dapps), particularly in those for trading assets through digital certificates secured on blockchain, called tokens. As a…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
Distributed ledger technologies have opened up a wealth of fine-grained transaction data from cryptocurrencies like Bitcoin and Ethereum. This allows research into problems like anomaly detection, anti-money laundering, pattern mining and…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…