Related papers: Causal Modelling of Cryptocurrency Price Movements…
This research is to assess cryptocurrencies with the conditional beta, compared with prior studies based on unconditional beta or fixed beta. It is a new approach to building a pricing model for cryptocurrencies. Therefore, we expect that…
We construct the Bitcoin User Network (BUN) directly from raw blockchain data up to late 2025, which allows us to explore its mesoscopic properties and trace its temporal evolution. In particular, we analyze the structure of connected…
In this paper, we analyze Twitter signals as a medium for user sentiment to predict the price fluctuations of a small-cap alternative cryptocurrency called \emph{ZClassic}. We extracted tweets on an hourly basis for a period of 3.5 weeks,…
Proof of work cryptocurrencies began with the promise of a more egalitarian future with a decentralized monetary system with no powerful entities in charge. While this vision is far from realized, these cryptocurrencies are still touted to…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Price benchmarks are used to incorporate market price trends into contracts, but their use can create opportunities for manipulation by parties involved in the contract. This paper examines this issue using a realistic and tractable model…
The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
Decentralization has been widely acknowledged as a core virtue of blockchains. However, in the past, there have been few measurement studies on measuring and comparing the actual level of decentralization between existing blockchains using…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
The rapid development of information technology, especially the Internet, has facilitated users with a quick and easy way to seek information. With these convenience offered by internet services, many individuals who initially invested in…
Maintaining a balance between returns and volatility is a common strategy for portfolio diversification, whether investing in traditional equities or digital assets like cryptocurrencies. One approach for diversification is the application…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
The number of users approaching the world of cryptocurrencies exploded in the last years, and consequently the daily interactions on their underlying distributed ledgers have intensified. In this paper, we analyze the flow of these digital…
Cryptocurrency price dynamics are driven largely by microstructural supply demand imbalances in the limit order book (LOB), yet the highly noisy nature of LOB data complicates the signal extraction process. Prior research has demonstrated…
Cryptocurrencies such as Bitcoin are realized using distributed systems and hence critically rely on the performance and security of the interconnecting network. The requirements on these networks and their usage, however can differ…
Cryptocurrencies and blockchain networks have attracted tremendous attention from their volatile price movements and the promise of decentralization. However, most projects run on business narratives with no way to test and verify their…
This study proposes a hybrid deep learning model for forecasting the price of Bitcoin, as the digital currency is known to exhibit frequent fluctuations. The models used are the Variational Mode Decomposition (VMD) and the Long Short-Term…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
Options have provided a field of much study because of the complexity involved in pricing them. The Black-Scholes equations were developed to price options but they are only valid for European styled options. There is added complexity when…