Related papers: The forking effect
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
This research examines the correlations between the return volatility of cryptocurrencies, global stock market indices, and the spillover effects of the COVID-19 pandemic. For this purpose, we employed a two-stage multivariate volatility…
This study investigates the application of the Light Gradient Boosting Machine (LGBM) model for both deterministic and probabilistic forecasting of Bitcoin realized volatility. Utilizing a comprehensive set of 69 predictors -- encompassing…
This study investigates the influence of monetary policy and monetary policy uncertainties on Bitcoin returns, utilizing monthly data of BTC, and MPU from July 2010 to August 2023, and employing the Markov Switching Means VAR (MSM-VAR)…
Bitcoin is a digital financial asset that is devoid of a central authority. This makes it distinct from traditional financial assets in a number of ways. For instance, the total number of tokens is limited and it has not explicit use value.…
The wide success of Bitcoin has led to a huge surge of alternative cryptocurrencies (altcoins). Most altcoins essentially fork Bitcoin's code with minor modifications, such as the number of coins to be minted, the block size, and the block…
This study empirically re-examines fat tails in stock return distributions by applying statistical methods to an extensive dataset taken from the Korean stock market. The tails of the return distributions are shown to be much fatter in…
We present a new volatility model, simple to implement, that includes a leverage effect whose return-volatility correlation function fits to empirical observations. This model is able to capture both the "retarded effect" induced by the…
What happens to mining when the Bitcoin price changes, when there are mining supply shocks, the price of energy changes, or hardware technology evolves? We give precise answers based on the technical forces and incentives in the system. We…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
The third Bitcoin halving that took place in May 2020 cut down the mining reward from 12.5 to 6.25 BTC per block and thus slowed down the rate of issuance of new Bitcoins, making it more scarce. The fourth and most recent halving happened…
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find thata…
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…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns…
Grover's algorithm confers on quantum computers a quadratic advantage over classical computers for searching in an arbitrary data set, a scenario that describes Bitcoin mining. It has previously been argued that the only side-effect of…
The world economy is experiencing the novel adoption of distributed currencies that are free from the control of central banks. Distributed currencies suffer from extreme volatility, and this can lead to catastrophic implications during…
We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level, complementing a companion conditional variance analysis that finds 5.7 times larger volatility…