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Since its advent in 2009, Bitcoin, a cryptography-enabled peer-to-peer digital payment system, has been gaining increasing attention from both academia and industry. An effort designed to overcome a cluster of bottlenecks inherent in…
Cryptocurrency is something that we have all heard about recently, most likely preceded by bitcoin, and how much its prices have boomed over the decade. These cryptocurrencies are actually based on blockchain, a secure datatype, and…
While numerous public blockchain datasets are available, their utility is constrained by an exclusive focus on blockchain data. This constraint limits the incorporation of relevant social network data into blockchain analysis, thereby…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…
Bitcoin (BTC) is probably the most transparent payment network in the world, thanks to the full history of transactions available to the public. Though, Bitcoin is not a fully anonymous environment, rather a pseudonymous one, accounting for…
We analyze the time series of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital market crash at the end of 2017 - beginning 2018. We introduce a methodology that combines topological data analysis with…
We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018.…
Thousands of cryptocurrencies have been issued and publicly exchanged since Bitcoin was invented in 2008. The total cryptocurrency market value exceeds 300 billion US dollars as of 2019. This paper analyzes the prices, volumes, blockchain…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
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…
Ethereum's Gas mechanism attempts to set transaction fees in accordance with the computational cost of transaction execution: a cost borne by default by every node on the network to ensure correct smart contract execution. Gas encourages…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
We study the real economic activity in the Bitcoin blockchain that involves transactions from/to retail users rather than between organizations such as marketplaces, exchanges, or other services. We first introduce a heuristic method to…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one side and their tight connection to the underlying blockchain…
Bitcoin is the first implementation of what has become known as a 'public permissionless' blockchain. Guaranteeing security and protocol conformity through its elegant combination of cryptographic assurances and game theoretic economic…
One of the main events that involve the world economy in 2022 is the conflict between Russia and Ukraine. This event offers a rare opportunity to analyze how events of this magnitude can reflect the use of cryptocurrencies. This work aims…
Blockchain has received much attention in recent years. This immense popularity has raised a number of concerns, scalability of blockchain systems being a common one. In this paper, we seek to understand how Ethereum, a well-established…