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The impact of COVID-19 on Ethereum returns and Ethereum market efficiency
This paper aims to identify herding biases and assess the inefficiency of Ethereum using an inefficiency index (MLM). Additionally, it investigates...
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Law of one price and return on Arbitrage Trading: Bitcoin vs. Ethereum
Decentralized cryptocurrencies are characterized by decentralized trading taking place concurrently at multiple exchanges. Price deviations in two...
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On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum
Most previous studies on the market efficiency of cryptocurrencies consider time evolution but do not provide insights into the potential driving...
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Comparative Analysis of Root Finding Algorithms for Implied Volatility Estimation of Ethereum Options
In this paper, a comparative analysis of traditional and hybrid root finding algorithms is performed in estimating implied volatility for Ethereum...
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Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency...
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Analyzing time–frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average...
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Volatility Interdependence Between Cryptocurrencies, Equity, and Bond Markets
This paper investigates (i) the return-volatility spillover between Bitcoin, Ethereum, Ripple, and Litecoin, (ii) the interdependence between...
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Volatility spillovers among leading cryptocurrencies and US energy and technology companies
This study investigates volatility spillovers and network connectedness among four cryptocurrencies (Bitcoin, Ethereum, Tether, and BNB coin), four...
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Machine Learning-Based Approach for Predicting the Altcoins Price Direction Change from a High-Frequency Data of Seven Years Based on Socio-Economic Factors, Bitcoin Prices, Twitter and News Sentiments
Altcoins are alternative types of coins under cryptocurrency, apart from traditional Bitcoins, for which predicting the price movement presents a...
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Have the extraordinary circumstances of the COVID-19 outbreak and the Russian–Ukrainian conflict impacted the efficiency of cryptocurrencies?
This study explores whether the COVID-19 outbreak and Russian–Ukrainian (R–U) conflict have impacted the efficiency of cryptocurrencies. The novelty...
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Causality between stock indices and cryptocurrencies before and during the Russo–Ukrainian war
In this paper, we study the unidirectional interdependence between the stock indices of Japan, Canada, Germany, France, Russia, Ukraine, and the...
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Long memory and structural breaks of cryptocurrencies trading volume
The paper investigates long memory, structural breaks, and spurious long memory in the daily trading volume of the largest and most active...
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Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter...
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Time-varying spillovers in high-order moments among cryptocurrencies
This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i.e. Bitcoin, Ethereum, Binance,...
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Detecting DeFi securities violations from token smart contract code
Decentralized Finance (DeFi) is a system of financial products and services built and delivered through smart contracts on various blockchains. In...
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OG-CAT: A Novel Algorithmic Trading Alternative to Investment in Crypto Market
Cryptocurrencies have emerged as a good tool for investment/trading in the last decade. The investors have achieved promising gains with the...
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Evaluating the Performance of Metaheuristic Based Artificial Neural Networks for Cryptocurrency Forecasting
The irregular movement of cryptocurrency market makes effective price forecasting a challenging task. Price fluctuations in cryptocurrencies often...
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Comparing cryptocurrencies and gold - a system-GARCH-approach
This article investigates similarities and differences between gold and four cryptocurrencies (Bitcoin, Ethereum, Bitcoin Cash and Litecoin) with...
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Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting
With the growing popularity of digital currencies known as cryptocurrencies, there is a need to develop models capable of robustly analyzing and...
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COVID-19 Cryptocurrency Investment: Wealth Disparities and Portfolio Diversification
The introduction of cryptocurrency and blockchain technology has provided many investors the option to engage in the market, diversify their...