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The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
Understanding the variations in trading price (volatility), and its response to exogenous information, is a well-researched topic in finance. In this study, we focus on finding stable and accurate volatility predictors for a relatively new…
The third Bitcoin halving that took place in May 2020 cut down the mining reward from 12.5 to 6.25 BTC per block and thus slowed down the rate of issuance of new Bitcoins, making it more scarce. The fourth and most recent halving happened…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
We construct and study the Google matrix of Bitcoin transactions during the time period from the very beginning in 2009 till April 2013. The Bitcoin network has up to a few millions of bitcoin users and we present its main characteristics…
We document stable cross-asset patterns in cryptocurrency limit-order-book microstructure: the same engineered order book and trade features exhibit remarkably similar predictive importance and SHAP dependence shapes across assets spanning…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
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…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes. We apply the log-periodic power…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and…
Cryptocurrencies are distributed systems that allow exchanges of native tokens among participants, or the exchange of such tokens for fiat currencies in markets external to these public ledgers. The availability of their complete historical…
Many human-related activities show power-law decaying interevent time distribution with exponents usually varying between 1 and 2. We study a simple task-queuing model, which produces bursty time series due to the nontrivial dynamics of the…
Since the inception of Bitcoin in 2009, the market of cryptocurrencies has grown beyond initial expectations as daily trades exceed $10 billion. As industries become automated, the need for an automated fraud detector becomes very apparent.…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
We assess the applicability of rough volatility models to Bitcoin realized volatility using the normalised p-variation framework of Cont and Das (2024). Applying this model-free estimator to high-frequency Bitcoin data from 2017 to 2024…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
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…
This study proposes a hybrid deep learning model for forecasting the price of Bitcoin, as the digital currency is known to exhibit frequent fluctuations. The models used are the Variational Mode Decomposition (VMD) and the Long Short-Term…