相关论文: Conditional beta and uncertainty factor in the cry…

The uncertainty principle limits quantum states such that when one observable takes predictable values there must be some other mutually unbiased observables which take uniformly random values. We show that this restrictive condition plays…

Bitcoin and other similar digital currencies on blockchains are not ideal means for payment, because their prices tend to go up in the long term (thus people are incentivized to hoard those currencies), and to fluctuate widely in the short…

The tendency to overestimate immediate utility is a common cognitive bias. As a result people behave inconsistently over time and fail to reach long-term goals. Behavioral economics tries to help affected individuals by implementing…

To analyze the uncertain data frequently encountered in practice, this paper proposes novel fixed-effects models that incorporate an uncertain measure to investigate variables of interest and nuisance variables in factor designs. First, an…

Bitcoin, as one of the most popular cryptocurrency, is recently attracting much attention of investors. Bitcoin price prediction task is consequently a rising academic topic for providing valuable insights and suggestions. Existing bitcoin…

This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…

Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…

The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…

Quantum computers have the potential to provide an advantage for financial pricing problems by the use of quantum estimation. In a broader context, it is reasonable to ask about situations where the market and the assets traded on the…

We report on the use of sentiment analysis on news and social media to analyze and predict the price of Bitcoin. Bitcoin is the leading cryptocurrency and has the highest market capitalization among digital currencies. Predicting Bitcoin…

We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical…

Privacy-protected microdata are often the desired output of a differentially private algorithm since microdata is familiar and convenient for downstream users. However, there is a statistical price for this kind of convenience. We show that…

Bitcoin has witnessed a prevailing transition that employing transaction fees paid by users rather than subsidy assigned by the system as the main incentive for mining.

A term structure model in which the short rate is zero is developed as a candidate for a theory of cryptocurrency interest rates. The price processes of crypto discount bonds are worked out, along with expressions for the instantaneous…

We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host…

Confirmatory Factor Analysis (CFA) is a particular form of factor analysis, most commonly used in social research. In confirmatory factor analysis, the researcher first develops a hypothesis about what factors they believe are underlying…

In this paper we argue that, to its detriment, transparency research overlooks many foundational concepts of artificial intelligence. As an illustrating example we focus on uncertainty quantification in the context of counterfactual…

The physics potential of beta beams is investigated from low to very high gamma values and it is compared to superbeams and neutrino factories. The gamma factor and the baseline are treated as continuous variables in the optimization of the…

Bitcoin has increased investment interests in people during the last decade. We have seen an increase in the number of posts on social media platforms about cryptocurrency, especially Bitcoin. This project focuses on analyzing user tweet…

For data pricing, data quality is a factor that must be considered. To keep the fairness of data market from the aspect of data quality, we proposed a fair data market that considers data quality while pricing. To ensure fairness, we first…