相关论文: Conditional beta and uncertainty factor in the cry…
Statistical estimation of the prediction uncertainty of physical models is typically hindered by the inadequacy of these models due to various approximations they are built upon. The prediction errors due to model inadequacy can be handled…
Traditional approaches to estimating beta in finance often involve rigid assumptions and fail to adequately capture beta dynamics, limiting their effectiveness in use cases like hedging. To address these limitations, we have developed a…
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…
There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the…
In the Bitcoin system, transaction fees serve as an incentive for blockchain confirmations. In general, a transaction with a higher fee is likely to be included in the next block mined, whereas a transaction with a smaller fee or no fee may…
Cryptocurrencies and Bitcoin, in particular, are prone to wild swings resulting in frequent jumps in prices, making them historically popular for traders to speculate. A better understanding of these fluctuations can greatly benefit crypto…
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to…
Given the high volatility and susceptibility to extreme events in the cryptocurrency market, forecasting tail risk is of paramount importance. Value-at-Risk (VaR), a quantile-based risk measure, is widely used for assessing tail risk and is…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
In this paper, we discuss the method of Bayesian regression and its efficacy for predicting price variation of Bitcoin, a recently popularized virtual, cryptographic currency. Bayesian regression refers to utilizing empirical data as proxy…
We develop an analysis of the cryptocurrency market borrowing methods and concepts from ecology. This approach makes it possible to identify specific diversity patterns and their variation, in close analogy with ecological systems, and to…
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain…
The price volatility of cryptocurrencies is often cited as a major hindrance to their wide-scale adoption. Consequently, during the last two years, multiple so called stablecoins have surfaced---cryptocurrencies focused on maintaining…
This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by…
What happens to mining when the Bitcoin price changes, when there are mining supply shocks, the price of energy changes, or hardware technology evolves? We give precise answers based on the technical forces and incentives in the system. We…
Predictive uncertainty estimation of pre-trained language models is an important measure of how likely people can trust their predictions. However, little is known about what makes a model prediction uncertain. Explaining predictive…
Cryptocurrency markets present unique prediction challenges due to their extreme volatility, 24/7 operation, and hypersensitivity to news events, with existing approaches suffering from key information extraction and poor sideways market…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…
The cryptocurrency ecosystem has been the centre of discussion on many social media platforms, following its noted volatility and varied opinions. Twitter is rapidly being utilised as a news source and a medium for bitcoin discussion. Our…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…