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The detection of outliers within cryptocurrency limit order books (LOBs) is of paramount importance for comprehending market dynamics, particularly in highly volatile and nascent regulatory environments. This study conducts a comprehensive…

交易与市场微观结构 · 定量金融 2025-07-22 Ivan Letteri

As one of the most important and famous applications of blockchain technology, cryptocurrency has attracted extensive attention recently. Empowered by blockchain technology, all the transaction records of cryptocurrencies are irreversible…

社会与信息网络 · 计算机科学 2022-01-20 Jiajing Wu , Jieli Liu , Yijing Zhao , Zibin Zheng

In the last years, cryptocurrencies are increasingly popular. Even people who are not experts have started to invest in these securities and nowadays cryptocurrency exchanges process transactions for over 100 billion US dollars per month.…

计算机与社会 · 计算机科学 2024-09-04 Massimo La Morgia , Alessandro Mei , Francesco Sassi , Julinda Stefa

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…

证券定价 · 定量金融 2021-02-02 Peter P. Rohde , Vijay Mohan , Sinclair Davidson , Chris Berg , Darcy Allen , Gavin K. Brennen , Jason Potts

Organizing and managing cryptocurrency portfolios and decision-making on transactions is crucial in this market. Optimal selection of assets is one of the main challenges that requires accurate prediction of the price of cryptocurrencies.…

机器学习 · 计算机科学 2024-12-20 Arash Peik , Mohammad Ali Zare Chahooki , Amin Milani Fard , Mehdi Agha Sarram

Predicting cryptocurrency returns is notoriously difficult: price movements are driven by a fast-shifting blend of on-chain activity, news flow, and social sentiment, while labeled training data are scarce and expensive. In this paper, we…

机器学习 · 计算机科学 2026-02-03 Junqiao Wang , Zhaoyang Guan , Guanyu Liu , Tianze Xia , Xianzhi Li , Shuo Yin , Xinyuan Song , Chuhan Cheng , Tianyu Shi , Alex Lee

Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…

统计金融 · 定量金融 2021-08-27 Li Guo , Wolfgang Karl Härdle , Yubo Tao

Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…

统计方法学 · 统计学 2022-11-18 Li Guo , Wolfgang Karl Härdle , Yubo Tao

For a long time predicting, studying and analyzing financial indices has been of major interest for the financial community. Recently, there has been a growing interest in the Deep-Learning community to make use of reinforcement learning…

统计金融 · 定量金融 2022-09-27 Jatin Nainani , Nirman Taterh , Md Ausaf Rashid , Ankit Khivasara

This study enhances a Deep Q-Network (DQN) trading model by incorporating advanced techniques like Prioritized Experience Replay, Regularized Q-Learning, Noisy Networks, Dueling, and Double DQN. Extensive tests on assets like BTC/USD and…

计算金融 · 定量金融 2023-11-21 Gang Hu

There has been much interest in accurate cryptocurrency price forecast models by investors and researchers. Deep Learning models are prominent machine learning techniques that have transformed various fields and have shown potential for…

机器学习 · 计算机科学 2024-06-04 Jingyang Wu , Xinyi Zhang , Fangyixuan Huang , Haochen Zhou , Rohtiash Chandra

In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…

交易与市场微观结构 · 定量金融 2021-12-17 Koya Ishikawa , Kazuhide Nakata

In this work, we propose to apply a new model fusion and learning paradigm, known as Combinatorial Fusion Analysis (CFA), to the field of Bitcoin price prediction. Price prediction of financial product has always been a big topic in…

统计金融 · 定量金融 2026-03-10 Yuanhong Wu , Wei Ye , Jingyan Xu , D. Frank Hsu

This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…

机器学习 · 计算机科学 2019-10-29 Vladimir Puzyrev

Recent advances in artificial intelligence (AI) for quantitative trading have led to its general superhuman performance in significant trading performance. However, the potential risk of AI trading is a "black box" decision. Some AI…

人工智能 · 计算机科学 2022-02-10 Yun-Cheng Tsai , Fu-Min Szu , Jun-Hao Chen , Samuel Yen-Chi Chen

Cryptocurrencies have gained popularity across various sectors, especially in finance and investment. Despite their growing popularity, cryptocurrencies can be a high-risk investment due to their price volatility. The inherent volatility in…

机器学习 · 计算机科学 2025-08-21 Rasoul Amirzadeh , Dhananjay Thiruvady , Asef Nazari , Mong Shan Ee

Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…

计算金融 · 定量金融 2020-07-30 Wolfgang Karl Härdle , Campbell R. Harvey , Raphael C. G. Reule

Adopting cryptography has given rise to a significant evolution in Artificial Intelligence (AI). This paper studies the path and stages of this evolution. We start with reviewing existing relevant surveys, noting their shortcomings,…

信息论 · 计算机科学 2022-06-28 Behrouz Zolfaghari , Elnaz Rabieinejad , Abbas Yazdinejad , Reza M. Parizi , Ali Dehghantanha

Cryptocurrency exchanges are frequently targeted and compromised by cyber-attacks, which may lead to significant losses for the depositors and closure of the affected exchanges. These risks threaten the viability of the entire public…

密码学与安全 · 计算机科学 2019-04-23 Benjamin Johnson , Aron Laszka , Jens Grossklags , Tyler Moore

Cryptocurrencies gain trust in users by publicly disclosing the full creation and transaction history. In return, the transaction history faithfully records the whole spectrum of cryptocurrency user behaviors. This article analyzes and…

密码学与安全 · 计算机科学 2020-10-05 Xiao Fan Liu , Xin-Jian Jiang , Si-Hao Liu , Chi Kong Tse