Related papers: Decomposing cryptocurrency high-frequency price dy…
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…
When network products and services become more valuable as their userbase grows (network effects), this tendency can become a major determinant of how they compete with each other in the market and how the market is structured. Network…
The decentralization, redundancy, and pseudo-anonymity features have made permission-less public blockchain platforms attractive for adoption as technology platforms for cryptocurrencies. However, such adoption has enabled cybercriminals to…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
We develop a dynamic model of the Bitcoin market where users set fees themselves and miners decide whether to operate and whom to validate based on those fees. Our analysis reveals how, in equilibrium, users adjust their bids in response to…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
Non-fungible tokens (NFTs) are unique digital items with blockchain managed ownership. Ethereum blockchain based smart contract created the environment for NFTs (ERC721) to reach its one of the most important future application domains. Non…
In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the…
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…
This paper uses new and recently established methodologies to study the evolutionary dynamics of the cryptocurrency market, and compares the findings with that of the equity market. We begin by applying random matrix theory and principal…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
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…
Non-fungible tokens (NFTs) as a decentralized proof of ownership represent one of the main reasons why Ethereum is a disruptive technology. This paper presents the first systematic study of the interactions occurring in a number of NFT…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
A variety of correlations are detected in the Monero blockchain. The joint distribution of the time-since-last-transaction between elements of pairs of RingCTs is enhanced in comparison with the product of the marginal distributions.…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been…
Online marketplaces are the main engines of legal and illegal e-commerce, yet their empirical properties are poorly understood due to the absence of large-scale data. We analyze two comprehensive datasets containing 245M transactions (16B…