Related papers: Bitcoin: A life in crises
In recent years, cryptocurrencies have gone from an obscure niche to a prominent place, with investment in these assets becoming increasingly popular. However, cryptocurrencies carry a high risk due to their high volatility. In this paper,…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
This paper evaluates the performance of classical time series models in forecasting Bitcoin prices, focusing on ARIMA, SARIMA, GARCH, and EGARCH. Daily price data from 2010 to 2020 were analyzed, with models trained on the first 90 percent…
In this paper we apply neural networks and Artificial Intelligence (AI) to historical records of high-risk cryptocurrency coins to train a prediction model that guesses their price. This paper's code contains Jupyter notebooks, one of which…
Between 2003 and 2015 the prices of apartments in Hong Kong (adjusted for inflation) increased by a factor of 3.8. This is much higher than in the United States prior to the so-called subprime crisis of 2007. The analysis of this…
Cryptocurrencies that are based on Proof-of-Work (PoW) often rely on special purpose hardware to perform so-called mining operations that secure the system, with miners receiving freshly minted tokens as a reward for their work. A notable…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations…
This paper offers a thorough examination of the univariate predictability in cryptocurrency time-series. By exploiting a combination of complexity measure and model predictions we explore the cryptocurrencies time-series forecasting task…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
Bitcoin derives a verifiable temporal order from probabilistic block discovery and cumulative proof-of-work rather than from a trusted global clock. We show that block arrivals exhibit stable exponential behavior across difficulty epochs,…
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…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
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…
BRC-20 (short for Bitcoin Request for Comment 20) token mania was a key storyline in the middle of 2023. Setting it apart from conventional ERC-20 token standards on Ethereum, BRC-20 introduces non-fungibility to Bitcoin through an editable…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
This paper develops a model to evaluate the viability of blockchain markets as the sole venue for price formation. Blockchains clear at discrete intervals called block time, and transactions are executed sequentially according to priority…
The cryptocurrency market surpassed the barrier of \$100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, however, a comprehensive analysis of the whole…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…