Related papers: Improving the Equation of Exchange for Cryptoasset…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…
Cryptocurrency blockchains, beyond their primary role as distributed payment systems, are increasingly used to store and share arbitrary content, such as text messages and files. Although often non-financial, this hidden content can impact…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
Analyzing investors' trading behavior in cryptoasset markets provides new evidence supporting the theory that retail investors likely exhibit behavioral biases. We investigate the price discovery process between Thailand's most highly…
I study a repeated auction in which payments are made with a blockchain token created and initially owned by the auction designer. Unlike the ``virtual money'' previously examined in mechanism design, such tokens can be saved and traded…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
Despite being described as a medium of exchange, cryptocurrencies do not have the typical attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately described as crypto assets. A common investment attribute…
The measurement of the velocity of money is still a significant topic. In this paper, we proposed a method to calculate the velocity of money by combining the holding-time distribution and lifespan distribution. By derivation, the velocity…
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…
Ethereum has emerged as a dynamic platform for exchanging cryptocurrency tokens. While token crowdsales cannot simultaneously guarantee buyers both certainty of valuation and certainty of participation, we show that if each token buyer…
This paper explores neural network-based approaches for algorithmic trading in cryptocurrency markets. Our approach combines multi-timeframe trend analysis with high-frequency direction prediction networks, achieving positive risk-adjusted…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
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…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
The regulatory framework of cryptocurrencies (and, in general, blockchain tokens) is of paramount importance. This framework drives nearly all key decisions in the respective business areas. In this work, a computational model is proposed…
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual…
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…