Results 21 to 30 of about 1,792 (206)
Liquidity connectedness in cryptocurrency market [PDF]
Financial Innovation, 2022 AbstractWe examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP ...
Mudassar Hasan +4 more
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Statistical Arbitrage in Cryptocurrency Markets [PDF]
Journal of Risk and Financial Management, 2019 Machine learning research has gained momentum—also in finance. Consequently, initial machine-learning-based statistical arbitrage strategies have emerged in the U.S. equities markets in the academic literature, see e.g., Takeuchi and Lee (2013); Moritz and Zimmermann (2014); Krauss et al. (2017).
Fischer, Thomas Günter +2 more
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Cryptocurrency Market Consolidation in 2020–2021 [PDF]
Entropy, 2021 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 of the minimal spanning trees calculated based on this matrix are applied for different positions of a moving ...
Jaroslaw Kwapien +2 more
openaire +4 more sources
A Network Analysis of the Cryptocurrency Market [PDF]
2020 IEEE Symposium Series on Computational Intelligence (SSCI), 2020 In this study, we conduct a network analysis with centrality measures, using historical daily close prices of top 120 cryptocurrencies between 2013 and 2020, to study and understand the dynamic evolution and characteristics of the cryptocurrency market.
Ho, Kin-Hon, Chiu, Wai-Han, Li, Chin
openaire +1 more source
Adverse Selection in Cryptocurrency Markets
SSRN Electronic Journal, 2022 AbstractIn this article we investigate the influence that information asymmetry may have on future volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the adverse‐selection component of the effective spread as a proxy for overall information asymmetry. Using order and trade data from the Bitfinex exchange, we first
Tiniç, Murat +4 more
openaire +6 more sources
CAAI Transactions on Intelligence Technology, EarlyView., 2023 Abstract This research focuses on addressing the privacy issues in healthcare advancement monitoring with the rapid establishment of the decentralised communication system in the Internet of Medical Things (IoMT). An integrated blockchain homomorphic encryption standard with an in‐build supervised learning‐based smart contract is designed to improvise ...
Chandramohan Dhasarathan +7 more
wiley +1 more source
Evolutionary dynamics of the cryptocurrency market [PDF]
Royal Society Open Science, 2017 The cryptocurrency market surpassed the barrier of $100 billion market capitalization in June 2017, after months of steady growth. Despite its increasing relevance in the financial world, a comprehensive analysis of the whole system is still lacking, as most studies have focused exclusively on the behaviour of one (Bitcoin) or few cryptocurrencies ...
Abeer ElBahrawy +4 more
openaire +9 more sources
On the evolution of cryptocurrency market efficiency [PDF]
Applied Economics Letters, 2020 This study examines whether the efficiency of cryptocurrency markets (Bitcoin and Ethereum) evolve over time based on Lo's (2004) adaptive market hypothesis (AMH). In particular, we measure the degree of market efficiency using a generalized least squares-based time-varying model that does not depend on sample size, unlike previous studies that used ...
openaire +2 more sources
Quantifying Endogeneity of Cryptocurrency Markets [PDF]
SSRN Electronic Journal, 2019 We construct a ‘reflexivity’ index to measure the activity generated endogenously within a market for cryptocurrencies. For this purpose, we fit a univariate self-exciting Hawkes process with two classes of parametric kernels to high-frequency trading data.
Mark, Michael +2 more
openaire +4 more sources
COVID-19 and Herd Behavior in Cryptocurrency Market [PDF]
راهبرد مدیریت مالیGiven the global prevalence of COVID-19 affecting financial markets, including cryptocurrency markets, examining trader behavior during the pandemic is particularly intriguing.
Mahdieh Rezagholizadeh +2 more
doaj +1 more source