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There have been several studies into measuring the level of decentralization in Ethereum through applying various indices to indicate the relative dominance of entities in different domains in the ecosystem. However, these indices do not…
Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the many potential biases that may influence backtests with this…
Cross-market factor research studies whether firm-level signals from one or more markets can predict returns in a target market, but existing public benchmarks do not support cross-market disclosure-to-return evaluation. Building such a…
In this paper, we analyze Twitter signals as a medium for user sentiment to predict the price fluctuations of a small-cap alternative cryptocurrency called \emph{ZClassic}. We extracted tweets on an hourly basis for a period of 3.5 weeks,…
This study investigates the transmission of monetary policy narratives to Bitcoin prices, distinguishing the impact of ex-ante expectations from ex-post interest rate implementation. We introduce a high-frequency Monetary Policy…
Since the introduction of Bitcoin in 2009, the dramatic and unsteady evolution of the cryptocurrency market has also been driven by large investments by traditional and cryptocurrency-focused hedge funds. Notwithstanding their critical…
Building on our prior threshold-based analysis of six months of Poloniex trading data, we have extended both the temporal span and granularity of our study by incorporating minute-level OHLCV records for 1021 tokens around each confirmed…
Non-Fungible Tokens (NFTs) are non-interchangeable assets, usually digital art, which are stored on the blockchain. Preliminary studies find that female and darker-skinned NFTs are valued less than their male and lighter-skinned…
Foundation models (e.g. ChatGPT, StableDiffusion) pervasively influence society, warranting immediate social attention. While the models themselves garner much attention, to accurately characterize their impact, we must consider the broader…
This paper will propose a novel machine learning based portfolio management method in the context of the cryptocurrency market. Previous researchers mainly focus on the prediction of the movement for specific cryptocurrency such as the…
The proliferation of blockchain entities (persons or enterprises) exposes them to potential regulatory actions (e.g., being litigated) by regulatory authorities. Regulatory frameworks for crypto assets are actively being developed and…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
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…
Trust mechanisms diverge between centralized and decentralized exchanges, representing distinct sociotechnical governance paradigms. However, quantifying trust dynamics and their redistribution between these architectures remains…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
Financial news is essential for accurate market prediction, but evolving narratives across macroeconomic regimes introduce semantic and causal drift that weaken model reliability. We present an evaluation framework to quantify robustness in…
This study investigates three central questions in portfolio optimization. First, whether time-varying moment estimators outperform conventional sample estimators in practical portfolio construction. Second, whether incorporating a turnover…
Predicting startup success from founder career data is hard. The signal is weak, the labels are rare (9%), and most founders who succeed look almost identical to those who fail. We engineer 28 structured features directly from raw JSON…
In the theory of financial markets, a stylized fact is a qualitative summary of a pattern in financial market data that is observed across multiple assets, asset classes and time horizons. In this article, we test a set of eleven stylized…
Cryptocurrency markets are highly volatile and influenced by both price trends and market sentiment, making effective portfolio management challenging. This paper proposes a dynamic cryptocurrency portfolio strategy that integrates…