Related papers: Bitcoin versus S&P 500 Index: Return and Risk Anal…
We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…
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…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
The paper proposes and implements a methodology to fit a seven-parameter Generalized Tempered Stable (GTS) distribution to financial data. The nonexistence of the mathematical expression of the GTS probability density function makes the…
In modern times, the cryptocurrency market is one of the world's most rapidly rising financial markets. The cryptocurrency market is regarded to be more volatile and illiquid than traditional markets such as equities, foreign exchange, and…
Over the past 60 years, there has been a gradual increase in the volatility of daily returns for the S&P 500 Index. Hypothetically, suppose that market forces determine daily volatility such that a daily leveraged S&P 500 fund cannot…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
Digital cryptocurrencies such as Bitcoin have exploded in recent years in both popularity and value. By their novelty, cryptocurrencies tend to be both volatile and highly speculative. The capricious nature of these coins is helped…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
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…
This study explores Bitcoin's value formation through the Granular Interaction Thinking Theory-Value Theory (GITT-VT). Rather than stemming from material utility or cash flows, Bitcoin's value arises from informational attributes and…
Bitcoin is the most popular cryptocurrency used worldwide. It provides pseudonymity to its users by establishing identity using public keys as transaction end-points. These transactions are recorded on an immutable public ledger called…
We study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least $200$ weeks with an exponent…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
In this note, we compare Bitcoin trading performance using two machine learning models-Light Gradient Boosting Machine (LightGBM) and Long Short-Term Memory (LSTM)-and two technical analysis-based strategies: Exponential Moving Average…
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…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
Abrupt changes in the miner hash rate applied to a proof-of-work (PoW) blockchain can adversely affect user experience and security. Because different PoW blockchains often share hashing algorithms, miners face a complex choice in deciding…