Related papers: Complexity of Financial Time Series: Multifractal …
We develop a method for the multifractal characterization of nonstationary time series, which is based on a generalization of the detrended fluctuation analysis (DFA). We relate our multifractal DFA method to the standard partition…
This paper studies the forecasting ability of cryptocurrency time series. This study is about the four most capitalized cryptocurrencies: Bitcoin, Ethereum, Litecoin and Ripple. Different Bayesian models are compared, including models with…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that…
We apply modified diffusion entropy analysis (MDEA) to assess multifractal dimensions of ON time series (ONTS) and complexity synchronization (CS) analysis to infer information transfer among ONs that are part of a network of organ networks…
We are interested in the nonparametric estimation of the probability density of price returns, using the kernel approach. The output of the method heavily relies on the selection of a bandwidth parameter. Many selection methods have been…
In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere…
Organizing and managing cryptocurrency portfolios and decision-making on transactions is crucial in this market. Optimal selection of assets is one of the main challenges that requires accurate prediction of the price of cryptocurrencies.…
Bitcoin is currently subject to a significant pay-for-speed trade-off. This is caused by lengthy and highly variable transaction confirmation times, especially during times of congestion. Users can reduce their transaction confirmation…
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for…
In the framework of Multifractal Diffusion Entropy Analysis we propose a method for choosing an optimal bin-width in histograms generated from underlying probability distributions of interest. The method presented uses techniques of…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
Bitcoin derives a verifiable temporal order from probabilistic block discovery and cumulative proof-of-work rather than from a trusted global clock. We show that block arrivals exhibit stable exponential behavior across difficulty epochs,…
Bitcoin, one of the major cryptocurrencies, presents great opportunities and challenges with its tremendous potential returns accompanying high risks. The high volatility of Bitcoin and the complex factors affecting them make the study of…
Here we present a novel approach to statistical analysis of financial time series. The approach is based on $n$-grams frequency dictionaries derived from the quantized market data. Such dictionaries are studied by evaluating their…
In this work, we propose to apply a new model fusion and learning paradigm, known as Combinatorial Fusion Analysis (CFA), to the field of Bitcoin price prediction. Price prediction of financial product has always been a big topic in…
We show that the behaviour of Bitcoin has interesting similarities to stock and precious metal markets, such as gold and silver. We report that whilst Litecoin, the second largest cryptocurrency, closely follows Bitcoin's behaviour, it does…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…