相关论文: Multifractal cross-correlations of bitcoin and eth…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based analyses. To address these challenges, we construct scale…
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the…
This work aims to analyse the predictability of price movements of cryptocurrencies on both hourly and daily data observed from January 2017 to January 2021, using deep learning algorithms. For our experiments, we used three sets of…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate…
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 investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and…
Utilizing graph analytics and learning has proven to be an effective method for exploring aspects of crypto economics such as network effects, decentralization, tokenomics, and fraud detection. However, the majority of existing research…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used 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…
Distributed ledger technologies have opened up a wealth of fine-grained transaction data from cryptocurrencies like Bitcoin and Ethereum. This allows research into problems like anomaly detection, anti-money laundering, pattern mining and…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part…
The objective of this paper is to assess the performances of dimensionality reduction techniques to establish a link between cryptocurrencies. We have focused our analysis on the two most traded cryptocurrencies: Bitcoin and Ethereum. To…