Related papers: Bitcoin versus S&P 500 Index: Return and Risk Anal…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
We study the fundamental differences that separate: Litecoin; Bitcoin Gold; Bitcoin Cash; Ethereum; and Zcash from Bitcoin, and draw analysis to how these features are appreciated by the market, to ultimately make an inference as to how…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are…
Bitcoin is a "crypto currency", a decentralized electronic payment scheme based on cryptography which has recently gained excessive popularity. Scientific research on bitcoin is less abundant. A paper at Financial Cryptography 2012…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
Over the past decade, the blockchain technology and its Bitcoin cryptocurrency have received considerable attention. Bitcoin has experienced significant price swings in daily and long-term valuations. In this paper, we propose a partial…
Bitcoin is a cryptocurrency that features a distributed, decentralized and trustworthy mechanism, which has made Bitcoin a popular global transaction platform. The transaction efficiency among nations and the privacy benefiting from address…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns…
Cryptocurrencies and Bitcoin, in particular, are prone to wild swings resulting in frequent jumps in prices, making them historically popular for traders to speculate. A better understanding of these fluctuations can greatly benefit crypto…
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 aims to analyze the effect of Bitcoin on portfolio optimization using mean-variance, conditional value-at-risk (CVaR), and Markov regime switching approaches. I assessed each approach and developed the next based on the prior…
We investigate the behaviour of cryptocurrencies using data for bitcoin, ethereum and ripple which account for over 70% of the cryptocurrency market. We demonstrate that $\alpha$-stable distribution is an appropriately sufficient model for…
In this paper, we apply tools from the random matrix theory (RMT) to estimates of correlations across volatility of various assets in the S&P 500. The volatility inputs are estimated by modeling price fluctuations as GARCH(1,1) process. The…