Related papers: Causal Modelling of Cryptocurrency Price Movements…
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
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…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
Understanding how housing prices respond to spatial accessibility, structural attributes, and typological distinctions is central to contemporary urban research and policy. In cities marked by affordability stress and market segmentation,…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
This paper suggests a framework for the learning of discretizations of expensive forward models in Bayesian inverse problems. The main idea is to incorporate the parameters governing the discretization as part of the unknown to be estimated…
Bitcoin is a digital currency and electronic payment system operating over a peer-to-peer network on the Internet. One of its most important properties is the high level of anonymity it provides for its users. The users are identified by…
There has been much interest in accurate cryptocurrency price forecast models by investors and researchers. Deep Learning models are prominent machine learning techniques that have transformed various fields and have shown potential for…
This paper leverages machine learning algorithms to forecast and analyze financial time series. The process begins with a denoising autoencoder to filter out random noise fluctuations from the main contract price data. Then, one-dimensional…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
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…
Cryptocurrency markets are characterized by extreme volatility, making accurate forecasts essential for effective risk management and informed trading strategies. Traditional deterministic (point) forecasting methods are inadequate for…
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one side and their tight connection to the underlying blockchain…
The world economy is experiencing the novel adoption of distributed currencies that are free from the control of central banks. Distributed currencies suffer from extreme volatility, and this can lead to catastrophic implications during…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
The properties of tokens within the Ethereum blockchain, such as their current prices, trade volumes, and potential future values, have been the subjects of numerous studies. Employing social networks and graphs, as powerful tools for…