相关论文: Evolutionary dynamics of the cryptocurrency market
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing the time-series of parameters, stylized patterns are…
Extreme volatility, nonlinear dependencies, and systemic fragility are characteristics of cryptocurrency markets. The assumptions of normality and centralized control in traditional financial risk models frequently cause them to miss these…
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 non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. The current study is based on the capitalization changes and transaction…
Cryptocurrencies (CCs) have risen rapidly in market capitalization over the last years. Despite striking price volatility, their high average returns have drawn attention to CCs as alternative investment assets for portfolio and risk…
A decade long thrive of cryptocurrency has shown its potential as a source of alternative-finance and the security and the robustness of the underpinning blockchain technology. However, most cryptocurrencies fail to show inimitability and…
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…
Blockchain technology has changed how people think about how they used to store and trade their assets, as it introduced us to a whole new way to transact: using digital currencies. One of the major innovations of blockchain technology is…
Portfolio management is the decision-making process of allocating an amount of fund into different financial investment products. Cryptocurrencies are electronic and decentralized alternatives to government-issued money, with Bitcoin as the…
The role of cryptocurrencies within the financial systems has been expanding rapidly in recent years among investors and institutions. It is therefore crucial to investigate the phenomena and develop statistical methods able to capture…
This paper distinguishes between risk resonance and risk diversification relationships in the cryptocurrency market based on the newly developed asymmetric breakpoint approach, and analyzes the risk propagation mechanism among…
With market capitalization exceeding USD250 billion by mid-2025, stablecoins have evolved from a crypto-focused innovation into a vital component of the global monetary structure. This paper identifies the characteristics of stablecoins…
With emergence of blockchain technologies and the associated cryptocurrencies, such as Bitcoin, understanding network dynamics behind Blockchain graphs has become a rapidly evolving research direction. Unlike other financial networks, such…
Financial markets exhibit temporal organization that is not fully captured by volatility measures or linear correlation structure. We study a null validated topological approach for quantifying market complexity and apply it to Bitcoin…
Blockchain technology, which has been known by mostly small technological circles up until recently, is bursting throughout the globe, with a potential economic and social impact that could fundamentally alter traditional financial and…
The energy consumption and related carbon emissions of cryptocurrencies such as Bitcoin are subject to extensive discussion in public, academia, and industry. As cryptocurrencies continue their journey into mainstream finance, incentives to…
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various…
We demonstrate market inefficiency in cryptoasset markets. Our approach examines investments that share a dominant risk factor but differ in their exposure to a secondary risk. We derive equilibrium restrictions that must hold regardless of…
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…