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Black-Scholes (BS) is the standard mathematical model for option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS…
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…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
The pricing of currency options is largely dependent on the dynamic relationship between a pair of currencies. Typically, the pricing of options with payoffs dependent on multi-assets becomes tricky for reasons such as the non-Gaussian…
Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our…
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…
Accurate option pricing is essential for effective trading and risk management in financial markets, yet it remains challenging due to market volatility and the limitations of traditional models like Black-Scholes. In this paper, we…
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…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction…
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various…
This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by…
When the underlying asset displays oscillations, spikes or heavy-tailed distributions, the lognormal diffusion process (for which Black and Scholes developed their momentous option pricing formula) is inadequate: in order to overcome these…
With emergence of blockchain technologies and the associated cryptocurrencies, such as Bitcoin, understanding network dynamics behind Blockchain graphs has become a rapidly evolving research direction. Unlike other financial networks, such…
In this paper, we propose a model to analyze sentiment of online stock forum and use the information to predict the stock volatility in the Chinese market. We have labeled the sentiment of the online financial posts and make the dataset…
Bitcoin is considered the most valuable currency in the world. Besides being highly valuable, its value has also experienced a steep increase, from around 1 dollar in 2010 to around 18000 in 2017. Then, in recent years, it has attracted…
This study enhances option pricing by presenting unique pricing model fractional order Black-Scholes-Merton (FOBSM) which is based on the Black-Scholes-Merton (BSM) model. The main goal is to improve the precision and authenticity of option…
What happens to mining when the Bitcoin price changes, when there are mining supply shocks, the price of energy changes, or hardware technology evolves? We give precise answers based on the technical forces and incentives in the system. We…