Related papers: Stylized Facts of High-Frequency Bitcoin Time Seri…
Bitcoin constructs temporal order internally rather than synchronizing to any external clock. Empirical evidence shows that its time evolution is non-continuous, probabilistic, and self-regulated. Block discovery follows a stochastic…
Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the…
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…
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended cross-correlation coefficient \rho(q,s). By extending…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate…
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
The S&P 500 index is considered the most popular trading instrument in financial markets. With the rise of cryptocurrencies over the past years, Bitcoin has also grown in popularity and adoption. The paper aims to analyze the daily return…
We employed Multifractal Detrended Fluctuation Analysis (MF-DFA) and Refined Composite Multiscale Sample Entropy (RCMSE) to investigate the complexity of Bitcoin, GBP/USD, gold, and natural gas price log-return time series. This study…
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…
In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We infer the low-dimensional representations…
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…
Bitcoin has attracted attention from different market participants due to unpredictable price patterns. Sometimes, the price has exhibited big jumps. Bitcoin prices have also had extreme, unexpected crashes. We test the predictive power of…
This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns related to algorithmic trading and its impact on the European cryptocurrency market. We study trading quantitatives such as…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…