Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to US Dollars, providing academia with an unusual opportunity to study the em…
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21 results for “crypto-currency”
Critical slowing down associated with critical transition and risk of collapse in cryptocurrencyq-fin.ST
The year 2017 saw the rise and fall of the crypto-currency market, followed by high variability in the price of all crypto-currencies. In this work, we study the abrupt transition in crypto-currency residuals, which is associated with the critical transition (the phenomenon of critical slowing down) or the stochastic t…
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
The paper presents a framework for optimizing crypto-currency portfolios using generative models.
problem Optimizing crypto-currency portfolios using generative models.
method The approach involves evaluating diverse pairings of generative model forecasts and objective functions, using simulations and blending strategies.
result Eclectic blended portfolios outperform individual generative model-based portfolios.
In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance, non-normality of the measurement errors and sharply increasing trends, we develop a ti…
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In contrast to financial exchanges, Blockchain based crypto-currencies expose the ent…
New method models asymmetric data with improved tail dependence.
problem Asymmetric data and tail dependence modeling.
method Generalized Skew-t Probabilistic Principal Component Analysis.
result Improved modeling of asymmetric data with tail effects.
AMSAs adaptively manage crypto-currency trading by selecting multiple strategies based on market conditions.
problem Maximizing gains in volatile crypto-currency markets with high uncertainty.
method AMSAs use multiple sub-agents with different strategies, dynamically selecting them based on market conditions.
result AMSAs can achieve high positive alpha in long-term crypto-currency trading.
New risk measure uses Fourier analysis of stock prices.
problem Identifying speculative behavior in financial products.
method Fourier analysis applied to stock price changes.
result Speculative behavior indicated by disproportionate price changes within one week.
Study confirms complex crypto market dynamics via non-linear potentials.
problem Linear models fail to capture complex financial market dynamics.
method Analyzed high-frequency crypto currency data to confirm non-linear drift and potential functions.
result Markets exhibit either single-well or double-well potentials, indicating varying levels of uncertainty or stress.
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 and the community activities was detected. Time series fractal analysis indicat…
K-expectiles clusteringstat.ME
Proposes a new clustering method based on expectiles for non-spherical clusters.
problem Inability of -means to handle non-spherical clusters.
method Uses expectiles to define cluster centers and searches for clusters via a greedy algorithm.
result Outperforms -means and spectral clustering on asymmetric shaped clusters.
Study XRP network, propose Flow Index to analyze transaction frequencies.
problem Analyze transaction frequencies in XRP network.
method Analyze XRP transaction history, propose Flow Index.
result Flow Index reveals bow-tie/walnut structure in XRP network.
iCurrency?q-fin.GN
We discuss the idea of a purely algorithmic universal world iCurrency set forth in [Kakushadze and Liew, 2014] (https://ssrn.com/abstract=2542541) and expanded in [Kakushadze and Liew, 2017] (https://ssrn.com/abstract=3059330) in light of recent developments, including Libra. Is Libra a contender to become iCurrency? A…
Designed to compete with fiat currencies, bitcoin proposes it is a crypto-currency alternative. Bitcoin makes a number of false claims, including: solving the double-spending problem is a good thing; bitcoin can be a reserve currency for banking; hoarding equals saving, and that we should believe bitcoin can expand by …
Predicts cryptocurrency prices with deep state-space model.
problem Predicting day-ahead crypto-currency prices.
method Proposes a deep state-space model combining state-space formulation and deep neural networks.
result The deep state-space model outperforms state-of-the-art and classical methods in accuracy.
Dissecting Ethereum Blockchain Analytics: What We Learn from Topology and Geometry of Ethereum Graphcs.SI
Blockchain technology and, in particular, blockchain-based cryptocurrencies offer us information that has never been seen before in the financial world. In contrast to fiat currencies, all transactions of crypto-currencies and crypto-tokens are permanently recorded on distributed ledgers and are publicly available. As …
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 Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the pe…
Wikipedia and Digital Currencies: Interplay Between Collective Attention and Market Performancephysics.soc-ph
The production and consumption of information about Bitcoin and other digital-, or 'crypto'-, currencies have grown together with their market capitalisation. However, a systematic investigation of the relationship between online attention and market dynamics, across multiple digital currencies, is still lacking. Here,…
Cryptocurrency prices predicted using LSTM, SVM, and polynomial regression.
problem Uncertainty in crypto coin values.
method Long Short Term Memory, Support Vector Machine, Polynomial Regression models.
result Support Vector Machine with linear kernel had the smallest mean square error.
This thesis studies CPMMs with CL, developing strategies for LTs and LPs.
problem Trading mechanisms and strategies for CPMMs with CL.
method Formalizes CPMMs with CL, develops strategies using market data and models.
result Derives optimal strategies for LTs and LPs in CPMMs with CL.