Related papers: Neural Network for valuing Bitcoin options under j…
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing…
Stock price prediction is a rich research topic that has attracted interest from various areas of science. The recent success of machine learning in speech and image recognition has prompted researchers to apply these methods to asset price…
We study the probabilistic distribution of the confirmation time of Bitcoin transactions, conditional on the current memory pool (i.e., the queue of transactions awaiting confirmation). The results of this paper are particularly interesting…
We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…
Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades…
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…
Bitcoin is a peer-to-peer electronic payment system that has rapidly grown in popularity in recent years. Usually, the complete history of Bitcoin blockchain data must be queried to acquire variables with economic meaning. This task has…
We develop a new framework to detect wash trading in crypto assets through real-time liquidity fluctuation. We propose that short-term price jumps in crypto assets results from wash trading-induced liquidity fluctuation, and construct two…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…
In this paper, we propose a modified Levy jump diffusion model with market sentiment memory for stock prices, where the market sentiment comes from data mining implementation using Tweets on Twitter. We take the market sentiment process,…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…
In the evolving domain of cryptocurrency markets, accurate token valuation remains a critical aspect influencing investment decisions and policy development. Whilst the prevailing equation of exchange pricing model offers a quantitative…
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…
Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
For a long time predicting, studying and analyzing financial indices has been of major interest for the financial community. Recently, there has been a growing interest in the Deep-Learning community to make use of reinforcement learning…
Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to…
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…
This work is organized as follows. In the first section we review the prior work and we have obtained our data. Next, we will look at address reuse in the Bitcoin network. We show that a great portion of users reuse their addresses which…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…