Related papers: Decomposing cryptocurrency high-frequency price dy…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as…
The non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. The current study is based on the capitalization changes and transaction…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
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…
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…
Cryptocurrency is a well-developed blockchain technology application that is currently a heated topic throughout the world. The public availability of transaction histories offers an opportunity to analyze and compare different…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…
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…
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlations of the price returns, the average number of trades in…
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended cross-correlation coefficient \rho(q,s). By extending…
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…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
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…
Distributed ledger technologies have opened up a wealth of fine-grained transaction data from cryptocurrencies like Bitcoin and Ethereum. This allows research into problems like anomaly detection, anti-money laundering, pattern mining and…
Cryptocurrencies have emerged as a novel financial asset garnering significant attention in recent years. A defining characteristic of these digital currencies is their pronounced short-term market volatility, primarily influenced by…
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…