相关论文: Improving the Equation of Exchange for Cryptoasset…
Ethereum is one of the most popular blockchain systems that supports more than half a million transactions every day and fosters miscellaneous decentralized applications with its Turing-complete smart contract machine. Whereas it remains…
We propose an ensemble method to improve the generalization performance of trading strategies trained by deep reinforcement learning algorithms in a highly stochastic environment of intraday cryptocurrency portfolio trading. We adopt a…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
Our work presents two fundamental contributions. On the application side, we tackle the challenging problem of predicting day-ahead crypto-currency prices. On the methodological side, a new dynamical modeling approach is proposed. Our…
This study investigates the impact of data source diversity on the performance of cryptocurrency forecasting models by integrating various data categories, including technical indicators, on-chain metrics, sentiment and interest metrics,…
The objective of this paper is the construction of new indicators that can be useful to operate in the cryptocurrency market. These indicators are based on public data obtained from the blockchain network, specifically from the nodes that…
In this paper, we analyse the impacts of exogenous and endogenous factors on wealth distribution in the Bitcoin token economy, where wealth distribution refers to the distribution of BTC between economic participants or groups of economic…
This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation…
This paper presents a pioneering approach for simulation of economic activity, policy implementation, and pricing of goods in token economies. The paper proposes a formal analysis framework for wealth distribution analysis and simulation of…
The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity equation of exchange. A dynamical quantity…
Blockchain technology shows significant results and huge potential for serving as an interweaving fabric that goes through every industry and market, allowing decentralized and secure value exchange, thus connecting our civilization like…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
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…
We outline a method to estimate the value of computation for a flexible algorithm using empirical data. To determine a reasonable trade-off between cost and value, we build an empirical model of the value obtained through computation, and…
The properties of tokens within the Ethereum blockchain, such as their current prices, trade volumes, and potential future values, have been the subjects of numerous studies. Employing social networks and graphs, as powerful tools for…
We propose a novel framework to analyse the velocity of money in terms of the contribution (MicroVelocity) of each individual agent, and to uncover the distributional determinants of aggregate velocity. Leveraging on complete publicly…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We outline a token model for Truebit, a retrofitting, blockchain enhancement which enables secure, community-based computation. The model addresses the challenge of stable task pricing, as raised in the Truebit whitepaper, without appealing…
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…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…