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We introduce PySDTest, a Python/Stata package for statistical tests of stochastic dominance. PySDTest implements various testing procedures such as Barrett and Donald (2003), Linton et al. (2005), Linton et al. (2010), and Donald and Hsu…
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
Bitcoin is the first digital decentralized cryptocurrency that has shown a significant increase in market capitalization in recent years. The objective of this paper is to determine the predictable price direction of Bitcoin in USD by…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
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…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
This study evaluates the performance of 41 machine learning models, including 21 classifiers and 20 regressors, in predicting Bitcoin prices for algorithmic trading. By examining these models under various market conditions, we highlight…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
Bitcoin's price has been described as following a power law (PL) in time, $P \sim t^{\beta}$ with $\hat\beta \approx 5.7$ over 2010-2026. We test this claim using the Clauset-Shalizi-Newman protocol applied to Bitcoin's tail-relevant…
This paper studies how to forecast daily closing price series of Bitcoin, using data on prices and volumes of prior days. Bitcoin price behaviour is still largely unexplored, presenting new opportunities. We compared our results with two…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
Despite the tremendous interest in cryptocurrencies like Bitcoin and Ethereum today, many aspects of the underlying consensus protocols are poorly understood. Therefore, the search for protocols that improve either throughput or security…
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility of the S&P 500 index, after introducing the theoretical…
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…
We study to what extent the Bitcoin blockchain security permanently depends on the underlying distribution of cryptocurrency market outcomes. We use daily blockchain and Bitcoin data for 2014-2019 and employ the ARDL approach. We test three…
Most current assessments use ex post proxies that miss uncertainty and fail to consistently capture the rapid change in bitcoin mining. We introduce a unified, ex ante statistical model that derives expected return, downside risk, and…
The so-called Benford's laws are of frequent use in order to observe anomalies and regularities in data sets, in particular, in election results and financial statements. Yet, basic financial market indices have not been much studied, if…
The cryptocurrency ecosystem has been the centre of discussion on many social media platforms, following its noted volatility and varied opinions. Twitter is rapidly being utilised as a news source and a medium for bitcoin discussion. Our…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…