Related papers: The forking effect
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
Bitcoin is firmly becoming a mainstream asset in our global society. Its highly volatile nature has traders and speculators flooding into the market to take advantage of its significant price swings in the hope of making money. This work…
We analyze the first and second moment risk premia in the Bitcoin market based on options and realized returns and contrast them to the premia embedded in the main US stock index market. First, Bitcoin is much more volatile and has a higher…
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…
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…
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental,…
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 paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets…
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…
Bitcoin is a representative decentralized currency system. For the security of Bitcoin, fairness in the distribution of mining rewards plays a crucial role in preventing the concentration of computational power in a few miners. Here,…
Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and…
Bitcoin is a digital currency and payment system based on classical cryptographic technologies which works without a central administrator such as in traditional currencies. It has long been questioned what the impact of quantum computing…
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
Natural forking in blockchain refers to a phenomenon that there are a set of blocks at one block height at the same time, implying that various nodes have different perspectives of the main chain. Natural forking might give rise to multiple…
This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the…
Cryptocurrencies have gained tremendous popularity over the past few years. The purpose of this study is to try to understand the factors that are driving cryptocurrency-related trading activities. Focusing on the well-established…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…