Related papers: Do Whitepaper Claims Predict Market Behavior? Evid…
When asked to explain their decisions, LLMs can often give explanations which sound plausible to humans. But are these explanations faithful, i.e. do they convey the factors actually responsible for the decision? In this work, we analyse…
We check the claims that data from Google Trends contain enough data to predict future financial index returns. We first discuss the many subtle (and less subtle) biases that may affect the backtest of a trading strategy, particularly when…
Rather than directly predicting future prices or returns, we follow a more recent trend in asset management and classify the state of a market based on labels. We use numerous standard labels and even construct our own ones. The labels rely…
Non-fungible tokens (NFTs) serve as a representative form of digital asset ownership and have attracted numerous investors, creators, and tech enthusiasts in recent years. However, related fraud activities, especially phishing scams, have…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
In the rapidly evolving field of crypto assets, white papers are essential documents for investor guidance, and are now subject to unprecedented content requirements under the European Union's Markets in Crypto-Assets Regulation (MiCAR).…
The study examines whether fama-french equity factors can effectively explain the idiosyncratic risk and return characteristics of Bitcoin. By incorporating Fama-french factors, the explanatory power of these factors on Bitcoin's excess…
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
In assessing argument strength, the notions of what makes a good argument are manifold. With the broader trend towards treating subjectivity as an asset and not a problem in NLP, new dimensions of argument quality are studied. Although…
This research mainly explores the characteristics of different strategies and whether VIX INDEX positively influences the investment portfolio in any period. Our portfolio has six significant cryptocurrencies, VIX INDEX and gold. We perform…
Recent trends in natural language processing research and annotation tasks affirm a paradigm shift from the traditional reliance on a single ground truth to a focus on individual perspectives, particularly in subjective tasks. In scenarios…
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…
This work is the first study on the effects of attacks on cryptocurrencies as expressed in the sentiments and emotions of social media users. Our goals are to design the methodologies for the study including data collection, conduct…
In light of micro-scale inefficiencies induced by the high degree of fragmentation of the Bitcoin trading landscape, we utilize a granular data set comprised of orderbook and trades data from the most liquid Bitcoin markets, in order to…
We investigate whether cryptocurrency markets differentiate between infrastructure failures and regulatory enforcement at the return level, complementing a companion conditional variance analysis that finds 5.7 times larger volatility…
This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…
This paper presents a comprehensive statistical analysis of the Web3 ecosystem, comparing various Web3 tokens with traditional financial assets across multiple time scales. We examine probability distributions, tail behaviors, and other key…
In this study, MLP models with dynamic structure are applied to factor models for asset pricing tasks. Concretely, the MLP pyramid model structure was employed on firm-characteristic-sorted portfolio factors for modelling the large-capital…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
Cryptocurrencies have recently experienced a new wave of price volatility and interest; activity within social media communities relating to cryptocurrencies has increased significantly. There is currently limited documented knowledge of…