相关论文: The Role of Binance in Bitcoin Volatility Transmis…
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…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
In this paper, we study the ability to make the short-term prediction of the exchange price fluctuations towards the United States dollar for the Bitcoin market. We use the data of realized volatility collected from one of the largest…
Cryptocurrency, the most controversial and simultaneously the most interesting asset, has attracted many investors and speculators in recent years. The visibly significant market capitalization of cryptos also motivates modern financial…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
Bitcoin has emerged as a fascinating phenomenon of the financial markets. Without any central authority issuing the currency, it has been associated with controversy ever since its popularity and public interest reached high levels. Here,…
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market maker's supply. The main demand-side effects are that…
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…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
Cryptocurrencies are distributed systems that allow exchanges of native tokens among participants, or the exchange of such tokens for fiat currencies in markets external to these public ledgers. The availability of their complete historical…
Algorithmic trading is well studied in traditional financial markets. However, it has received less attention in centralized cryptocurrency exchanges. The Commodity Futures Trading Commission (CFTC) attributed the $2010$ flash crash, one of…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…
Bitcoins have recently become an increasingly popular cryptocurrency through which users trade electronically and more anonymously than via traditional electronic transfers. Bitcoin's design keeps all transactions in a public ledger. The…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
Perpetual swaps are derivative contracts that allow traders to speculate on, or hedge, the price movements of cryptocurrencies. Unlike futures contracts, perpetual swaps have no settlement or expiration in the traditional sense. The funding…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Bitcoin is a decentralised digital currency that relies on cryptography rather than trusted third parties such as central banks for its security. Underpinning the operation of the currency is a peer-to-peer (P2P) network that facilitates…
Bitcoin treasury companies have taken stock markets by storm amassing billions of dollars worth of tokens in hundreds of entities. The paper discusses, how leverage - whether created through corporate debt or investors using stock as loan…