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Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
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…
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…
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…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…
Blockchain and its application on cryptocurrency transactions have gathered a lot of attention and popularity since the birth of the pioneer Bitcoin in 2009. More than 1500 cryptocurrencies are currently circulated in the market. The…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
Cryptocurrencies have evolved into an important asset class, providing a variety of benefits. However, they also present significant risks, such as market volatility and the potential for misuse in illegal activities. These risks underline…
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…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
With the growing popularity and rising value of cryptocurrencies, skepticism surrounding this groundbreaking innovation persists. Many financial and business experts argue that the value created in the cryptocurrency realm resembles the…