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Blockchain technology, with implications in the financial domain, offers data in the form of large-scale transaction networks. Analyzing transaction networks facilitates fraud detection, market analysis, and supports government regulation.…
Inspired by Bitcoin, many different kinds of cryptocurrencies based on blockchain technology have turned up on the market. Due to the special structure of the blockchain, it has been deemed impossible to directly trade between traditional…
Machine Translation Quality Estimation is a notoriously difficult task, which lessens its usefulness in real-world translation environments. Such scenarios can be improved if quality predictions are accompanied by a measure of uncertainty.…
More than ten years ago the blockchain was acclaimed as the solution to overcome centralised trusted third parties for online payments. Through the years the crypto-movement changed and evolved, although decentralisation remained the core…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
This work introduces a framework for evaluating onchain order flow auctions (OFAs), emphasizing the metric of price improvement. Utilizing a set of open-source tools, our methodology systematically attributes price improvements to specific…
The tokenization of assets deployed to distributed ledger technology is increasingly cited to revolutionize financial services by allowing traditionally illiquid assets to be bought and sold on primary and secondary markets increasing asset…
Cryptocurrency price dynamics are driven largely by microstructural supply demand imbalances in the limit order book (LOB), yet the highly noisy nature of LOB data complicates the signal extraction process. Prior research has demonstrated…
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread…
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…
We design a novel calibration procedure that is designed to handle the specific characteristics of options on cryptocurrency markets, namely large bid-ask spreads and the possibility of missing or incoherent prices in the considered data…
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…
The continuous time stochastic process is a mainstream mathematical instrument modeling the random world with a wide range of applications involving finance, statistics, physics, and time series analysis, while the simulation and analysis…
Decentralised organisations use blockchains as a basis for governance: they use on-chain transactions to allocate voting weight, publish proposals, cast votes, and enact the results. However, blockchain-based governance structures have…
The cryptocurrency ecosystem has been the centre of discussion on many social media platforms, following its noted volatility and varied opinions. Twitter is rapidly being utilised as a news source and a medium for bitcoin discussion. Our…
This paper is about our attempt of identifying trade elasticities through the variations in the exchange rate, for possible applications to the case of services whose physical transactions are veiled in the trade statistics. The regression…
There are a multitude of Blockchain-based physical infrastructure systems, operating on a crypto-currency enabled token economy, where infrastructure suppliers are rewarded with tokens for enabling, validating, managing and/or securing the…
In recent years, hype surrounding the proliferation of blockchain-based technology has been significant. Apart from the creation of bitcoin and other cryptocurrencies, it has been difficult to determine what practical utility might lie in…
Forecasting cryptocurrency prices is hindered by extreme volatility and a methodological dilemma between information-scarce univariate models and noise-prone full-multivariate models. This paper investigates a partial-multivariate approach…