Related papers: Explainable Patterns in Cryptocurrency Microstruct…
The goals of this paper are twofold: (1) to present a new method that is able to find linear laws governing the time evolution of Markov chains and (2) to apply this method for anomaly detection in Bitcoin prices. To accomplish these goals,…
The issue related to the quantification of the tail risk of cryptocurrencies is considered in this paper. The statistical methods used in the study are those concerning recent developments in Extreme Value Theory (EVT) for weakly dependent…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Cryptocurrency trading has attracted tremendous attention from both retail and institutional investors. However, most traders fail to scale their assets under management due to fragile strategies that collapse during adverse markets. The…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…
In this paper we revisit some major orthodoxies which lie at the heart of the bitcoin crypto currency and its numerous clones. In particular we look at The Longest Chain Rule, the monetary supply policies and the exact mechanisms which…
This study introduces a novel approach to walk-forward optimization by parameterizing the lengths of training and testing windows. We demonstrate that the performance of a trading strategy using the Exponential Moving Average (EMA)…
We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit…
Existing blockchain systems scale poorly because of their distributed consensus protocols. Current attempts at improving blockchain scalability are limited to cryptocurrency. Scaling blockchain systems under general workloads (i.e.,…
Value at risk and expected shortfall are increasingly popular tail risk measures in the financial risk management field. Both academia and financial institutions are working to improve tail risk forecasts in order to meet the requirements…
This study presents an innovative approach for predicting cryptocurrency time series, specifically focusing on Bitcoin, Ethereum, and Litecoin. The methodology integrates the use of technical indicators, a Performer neural network, and…
Estimating brain microstructure has important applications in medicine and neuroscience. Diffusion-weighted magnetic resonance imaging enables measuring microstructure \textit{in vivo}. Conventional biophysical model fitting can be accurate…
Price Trend Prediction (PTP) based on Limit Order Book (LOB) data is a fundamental challenge in financial markets. Despite advances in deep learning, existing models fail to generalize across different market conditions and assets.…
In a low-order model of the general circulation of the atmosphere we examine the predictability of threshold exceedance events of certain observables. The likelihood of such binary events -- the cornerstone also for the categoric (as…
This work unifies insights from the systems and functional programming communities, in order to enable compositional reasoning about software which is nonetheless efficiently realizable in hardware. It exploits a correspondence between…
A combinatorial trade is a pair of sets of blocks of elements that can be exchanged while preserving relevant subset intersection constraints. The class of balanced and swap-robust minimal trades was proposed in [1] for exchanging blocks of…
To improve transaction rates, many cryptocurrencies have implemented so-called ''Layer-2'' transaction protocols, where payments are routed across networks of private payment channels. However, for a given transaction, not every network…
In this paper, we present a measure of time irreversibility using trend pattern statistics. We define the irreversibility index as the Kullback-Leibler divergence between the distribution of uptrends subsequences (increasing trends) and the…
Stablecoins face an unresolved trilemma of balancing decentralization, stability, and regulatory compliance. We present a hybrid stabilization protocol that combines crypto-collateralized reserves, algorithmic futures contracts, and…