相关论文: Stylized Facts of High-Frequency Bitcoin Time Seri…
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading systems. Our proposed architecture incorporates probabilistic…
The non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. The current study is based on the capitalization changes and transaction…
Cryptocurrency markets exhibit pronounced momentum effects and regime-dependent volatility, presenting both opportunities and challenges for systematic trading strategies. We propose AdaptiveTrend, a multi-component algorithmic trading…
This paper presents a stochastic model for block arrival times based on the difficulty retargeting rule used in Bitcoin, as well as other proof-of-work blockchains. Unlike some previous work, this paper explicitly models the difficulty…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
Introduction: The paper addresses the challenging problem of predicting the short-term realized volatility of the Bitcoin price using order flow information. The inherent stochastic nature and anti-persistence of price pose difficulties in…
Bitcoin price forecasting is characterized by extreme volatility and non-stationarity, often defying traditional univariate time-series models over long horizons. This paper addresses a critical gap by integrating Global M2 Liquidity,…
Bitcoin is considered the most valuable currency in the world. Besides being highly valuable, its value has also experienced a steep increase, from around 1 dollar in 2010 to around 18000 in 2017. Then, in recent years, it has attracted…
Forecasting cryptocurrencies as a financial issue is crucial as it provides investors with possible financial benefits. A small improvement in forecasting performance can lead to increased profitability; therefore, obtaining a realistic…
In today's era of big data, deep learning and artificial intelligence have formed the backbone for cryptocurrency portfolio optimization. Researchers have investigated various state of the art machine learning models to predict Bitcoin…
Bitcoin is a cryptocurrency that features a distributed, decentralized and trustworthy mechanism, which has made Bitcoin a popular global transaction platform. The transaction efficiency among nations and the privacy benefiting from address…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
We report numerical simulations of a strongly biased diffusion process on a one-dimensional substrate with directed shortcuts between randomly chosen sites, i.e. with a small-world-like structure. We find that, unlike many other dynamical…
This study, to the best of our knowledge for the first time, delves into the spatiotemporal dynamics of Bitcoin transactions, shedding light on the scaling laws governing its geographic usage. Leveraging a dataset of IP addresses and…
Bitcoin is the world's first decentralized digital currency. The rate at which bitcoins enter circulation is cut in half every 4 years, approximately. These events are considered landmarks in Bitcoin's history, and as such are widely…
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that…
Bitcoin, widely recognized as the first cryptocurrency, has shown increasing integration with traditional financial markets, particularly major U.S. equity indices, amid accelerating institutional adoption. This study examines how Bitcoin…
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics…