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Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
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…
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge…
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…
This paper examines the dynamics of the cryptocurrency market and proposes a novel blockchain-based protocol for real estate transactions. Our analysis includes a detailed review of price trends, volatility, and correlations within the…
This paper develops a formal game-theoretic model to examine how protocol mutability disrupts cooperative mining behaviour in blockchain systems. Using a repeated game framework with stochastic rule shocks, we show that even minor…
A simple model-free and distribution-free statistic, the functional relationship between the number of "effective" degrees of freedom and portfolio size, or N*(N), is used to discriminate between two alternative models for the correlation…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
This paper analyzes realized return behavior across a broad set of crypto assets by estimating heterogeneous exposures to idiosyncratic and systematic risk. A key challenge arises from the latent nature of broader economy-wide risk sources:…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
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…
Cryptocurrency trading represents a nascent field of research, with growing adoption in industry. Aided by its decentralised nature, many metrics describing cryptocurrencies are accessible with a simple Google search and update frequently,…
Wash trading, the practice of simultaneously placing buy and sell orders for the same asset to inflate trading volume, has been prevalent in cryptocurrency markets. This paper investigates whether wash traders in Bitcoin act deliberately to…
Blockchain technology has changed how people think about how they used to store and trade their assets, as it introduced us to a whole new way to transact: using digital currencies. One of the major innovations of blockchain technology is…
In recent years, prominent blockchain systems such as Bitcoin and Ethereum have experienced explosive growth in transaction volume, leading to frequent surges in demand for limited block space and causing transaction fees to fluctuate by…
Blockchain's economic value lies in enabling financial and economic transactions without relying on trusted, centralized intermediaries. In practice, however, transactions pass through a fragmented chain of intermediaries before being…
One of the main events that involve the world economy in 2022 is the conflict between Russia and Ukraine. This event offers a rare opportunity to analyze how events of this magnitude can reflect the use of cryptocurrencies. This work aims…