Related papers: Crypto Pricing with Hidden Factors
We are often faced with the non-trivial task of designing incentive mechanisms in the era of Web3. As history has shown, many Web3 services failed mostly due to the lack of a rigorous incentive mechanism design based on token economics.…
Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical financial risk exposures from regulators and the…
It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk…
Two of the most important technological advancements currently underway are the advent of quantum technologies, and the transitioning of global financial systems towards cryptographic assets, notably blockchain-based cryptocurrencies and…
The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" method (with nested simulations). This is achieved using marked…
This research explores a relatively unexplored area of predicting cryptocurrency staking rewards, offering potential insights to researchers and investors. We investigate two predictive methodologies: a) a straightforward sliding-window…
Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alternative portfolios are obtained in various asset classes and…
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility model, which is mainly composed of three parts, such as the…
The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the…
The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…
According to the advent of cryptocurrencies and Bitcoin, many investments and businesses are now conducted online through cryptocurrencies. Among them, Bitcoin uses blockchain technology to make transactions secure, transparent, traceable,…
On a periodic basis, publicly traded companies report fundamentals, financial data including revenue, earnings, debt, among others. Quantitative finance research has identified several factors, functions of the reported data that…
We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author…
Price feeds of securities is a critical component for many financial services, allowing for collateral liquidation, margin trading, derivative pricing and more. With the advent of blockchain technology, value in reporting accurate prices…
Cryptocurrencies have become a trendy topic recently, primarily due to their disruptive potential and reports of unprecedented returns. In addition, academics increasingly acknowledge the predictive power of Social Media in many fields and,…
In this paper, the cross-correlations of cryptocurrency returns are analysed. The paper examines one years worth of data for 146 cryptocurrencies from the period January 1 2019 to December 31 2019. The cross-correlations of these returns…
Blockchain and its application on cryptocurrency transactions have gathered a lot of attention and popularity since the birth of the pioneer Bitcoin in 2009. More than 1500 cryptocurrencies are currently circulated in the market. The…
The volatility and complex dynamics of cryptocurrency markets present unique challenges for accurate price forecasting. This research proposes a hybrid deep learning and machine learning model that integrates Long Short-Term Memory (LSTM)…