Related papers: Bayesian framework for characterizing cryptocurren…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…
The random values and volumes of consecutive trades made at the exchange with shares of security determine its mean, variance, and higher statistical moments. The volume weighted average price (VWAP) is the simplest example of such a…
According to the advent of cryptocurrencies and Bitcoin, many investments and businesses are now conducted online through cryptocurrencies. Among them, Bitcoin uses blockchain technology to make transactions secure, transparent, traceable,…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…
We propose a Bayesian nonparametric approach to modelling and predicting a class of functional time series with application to energy markets, based on fully observed, noise-free functional data. Traders in such contexts conceive profitable…
This paper introduces CryptoAnalytics, a software toolkit for cryptocoins price forecasting with machine learning (ML) techniques. Cryptocoins are tradable digital assets exchanged for specific trading prices. While history has shown the…
Feature extraction from financial data is one of the most important problems in market prediction domain for which many approaches have been suggested. Among other modern tools, convolutional neural networks (CNN) have recently been applied…
Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, conventional Gaussian-linear forecasting frameworks may…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in latent volatility due to a Bayesian learning procedure. Starting…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow…
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations of these returns…
We introduce a performance-driven framework for constructing strictly causal forward-oriented observables in strongly non-stationary time series. The method combines a robustly normalized composite of heterogeneous indicators with a…
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are…
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…
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…