Related papers: Classification-Based Analysis of Price Pattern Dif…
Methodologies to infer financial networks from the price series of speculative assets vary, however, they generally involve bivariate or multivariate predictive modelling to reveal causal and correlational structures within the time series…
This paper contextualises the common queries of "why is crypto crashing?" and "why is crypto down?", the research transcends beyond the frequent market fluctuations to unravel how cryptocurrencies fundamentally work and the step-by-step…
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions of crypto-currencies and crypto-tokens…
This paper demonstrates how to apply machine learning algorithms to distinguish good stocks from the bad stocks. To this end, we construct 244 technical and fundamental features to characterize each stock, and label stocks according to…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Rapidly growing distributed ledger technologies (DLTs) have recently received attention among researchers in both industry and academia. While a lot of existing analysis (mainly) of the Bitcoin and Ethereum networks is available, the lack…
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…
The great influence of Bitcoin has promoted the rapid development of blockchain-based digital currencies, especially the altcoins, since 2013. However, most altcoins share similar source codes, resulting in concerns about code innovations.…
This document analyzes price discovery in cryptocurrency markets by comparing centralized and decentralized exchanges, as well as spot and futures markets. The study focuses first on Ethereum (ETH) and then applies a similar approach to…
With technological advancements and the exponential growth of data, we have been unfolding different capabilities of neural networks in different sectors. In this paper, I have tried to use a specific type of Neural Network known as…
Prediction of stock price and stock price movement patterns has always been a critical area of research. While the well-known efficient market hypothesis rules out any possibility of accurate prediction of stock prices, there are formal…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In…
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.…
We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is…
Developments in the distributed ledger technology have led to new types of assets with a broad range of purposes. Although some classification frameworks for common instruments from traditional finance and some for these new, so called…
This article investigates the use of Machine Learning and Deep Learning models in multivariate time series analysis within financial markets. It compares small and big data approaches, focusing on their distinct challenges and the benefits…
Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
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…