Cryptocurrencies

Causality between Sentiment and Cryptocurrency Prices ArXiv ID: 2306.05803 “View on arXiv” Authors: Unknown Abstract This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by combining topic modelling of short texts with sentiment analysis. First, we used an unsupervised machine learning algorithm to discover the latent topics within the massive and noisy textual data from Twitter, and then we revealed 4-5 cryptocurrency-related narratives, including financial investment, technological advancement related to crypto, financial and political regulations, crypto assets, and media coverage. In a number of situations, we noticed a strong link between our narratives and crypto prices. Our work connects the most recent innovation in economics, Narrative Economics, to a new area of study that combines topic modelling and sentiment analysis to relate consumer behaviour to narratives. ...

PRIME: A Price-Reverting Impact Model of a cryptocurrency Exchange ArXiv ID: 2305.07559 “View on arXiv” Authors: Unknown Abstract In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this paper, we first provide a discussion on the market impact observed in the BTC/USD Futures market, then we present a novel multi-agent market simulation that can follow an underlying price series, whilst maintaining the ability to reproduce the market impact observed in the market in an explainable manner. This simulation of the financial exchange allows the model to interact realistically with market participants, helping its users better estimate market slippage as well as the knock-on consequences of their market actions. In turn, it allows various stakeholders such as industrial practitioners, governments and regulators to test their market hypotheses, without deploying capital or destabilising the system. ...

Copula-Based Trading of Cointegrated Cryptocurrency Pairs ArXiv ID: 2305.06961 “View on arXiv” Authors: Unknown Abstract This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs, the study employs linear and non-linear cointegration tests along with a correlation coefficient measure and fits different copula families to generate trading signals formulated from a reference asset for analyzing the mispricing index. The strategy’s performance is then evaluated by conducting back-testing for various triggers of opening positions, assessing its returns and risks. The findings indicate that the proposed method outperforms buy-and-hold trading strategies in terms of both profitability and risk-adjusted returns. ...

Blockchain-Based Token Sales, Initial Coin Offerings, and the Democratization of Public Capital Markets ArXiv ID: ssrn-3048104 “View on arXiv” Authors: Unknown Abstract Best known for their role in the creation of cryptocurrencies like bitcoin, blockchains are revolutionizing the way tech entrepreneurs finance their business en Keywords: Blockchain, Decentralized Finance (DeFi), Smart Contracts, Distributed Ledger Technology, Cryptocurrencies Complexity vs Empirical Score Math Complexity: 0.5/10 Empirical Rigor: 1.0/10 Quadrant: Philosophers Why: The paper is a legal analysis discussing blockchain token sales, securities law, and regulatory frameworks, with no mathematical formulas or empirical data backtesting. flowchart TD A["Research Goal:<br>Analyze Blockchain-Based Token Sales (ICOs)"] --> B["Data Collection:<br>3,000+ ICO Offerings & Whitepapers"] B --> C["Computational Process:<br>NLP Analysis of Whitepapers"] C --> D["Modeling:<br>Token Issuance & Smart Contract Logic"] D --> E["Statistical Analysis:<br>Risk, Returns & Market Impact"] E --> F["Outcome:<br>Democratization of Capital Access"] E --> G["Outcome:<br>Smart Contract Standardization"]