Related papers: What is mature and what is still emerging in the c…
Bitcoin, widely recognized as the first cryptocurrency, has shown increasing integration with traditional financial markets, particularly major U.S. equity indices, amid accelerating institutional adoption. This study examines how Bitcoin…
Blockchain technology relies on decentralization to resist faults and attacks while operating without trusted intermediaries. Although industry experts have touted decentralization as central to their promise and disruptive potential, it is…
Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid…
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…
The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the…
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,…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper analyzes the prices, volumes, blockchain…
Cryptocurrency network analysis consists of applying the tools and methods of social network analysis to transactional data issued from cryptocurrencies. The main difference with most online social networks is that users do not exchange…
The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather…
This study investigates three central questions in portfolio optimization. First, whether time-varying moment estimators outperform conventional sample estimators in practical portfolio construction. Second, whether incorporating a turnover…
The great influence of Bitcoin has promoted the rapid development of blockchain-based digital currencies, especially the altcoins, since 2013. However, most altcoins share similar source codes, resulting in concerns about code innovations.…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
Cryptocurrency is something that we have all heard about recently, most likely preceded by bitcoin, and how much its prices have boomed over the decade. These cryptocurrencies are actually based on blockchain, a secure datatype, and…
A decade long thrive of cryptocurrency has shown its potential as a source of alternative-finance and the security and the robustness of the underpinning blockchain technology. However, most cryptocurrencies fail to show inimitability and…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
Cryptocurrencies are digital tokens built on blockchain technology, with thousands actively traded on centralized exchanges (CEXs). Unlike stocks, which are backed by real businesses, cryptocurrencies are recognized as a distinct class of…
Cryptocurrencies, as decentralized digital assets, have experienced rapid growth and adoption, with over 23,000 cryptocurrencies and a market capitalization nearing \$1.1 trillion (about \$3,400 per person in the US) as of 2023. This…
Digital payment schemes show an ever increasing importance. Out of the countless different schemes available this article focuses on the popular Bitcoin system. The authors provide a description of Bitcoin's unique technological basis and…