Cryptocurrency Trading: A Comprehensive Survey

Fang, Fan; Ventre, Carmine; Basios, Michail; Kong, Hoiliong; Kanthan, Leslie; Li, Lingbo; Martinez-Regoband, David; Wu, Fan

doi:10.48550/arxiv.2003.11352

Cited by 10 publications

(9 citation statements)

References 194 publications

(191 reference statements)

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“…Experimenting with logistic regression, SVM, and Naive Bayes, the authors reported that logistic regrssion performed the best and was able to consistently achieve higher than 50% accuracy in predicting next-day Bitcoin price change direction. For a more comprehensive literature review on cryptocurrency trading research, the reader is referred to Fang, Ventre, Basios, Kong, Kanthan, Li, Martinez-Regoband and Wu (2020).…”

Section: Btc Price Prediction With Nlpmentioning

confidence: 99%

A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin

Zou¹,

Herremans²

2022

Preprint

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Proposes a multimodal model for Bitcoin extreme price movement prediction using Twitter contents, not just sentiment.• Ablation study of the impact of different modalities on extreme price prediction accuracy.• New publicly available dataset of 9,435,437 tweets over a period of years related to Bitcoin.• Describes a profitable strategy with reduced risk exposure for Bitcoin trading using the proposed multimodal model.• Demonstrates the influence of setting predictive thresholds on risk reduction of a trading strategy.

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Section: Btc Price Prediction With Nlpmentioning

confidence: 99%

A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin

Zou¹,

Herremans²

2022

Preprint

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“…Cryptocurrency as an asset class has also received attention. Fang et al (2021) provide a comprehensive survey of 126 papers studying cryptocurrency trading and risk management. Methodological contributions in this direction include Biais et al (2018) and Pagnotta (2021), who study equilibrium models for pricing of Bitcoin and other decentralized network assets.…”

Section: Literature Reviewmentioning

confidence: 99%

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

Capponi¹,

Ólafsson²,

Al‐Sabah³

2021

Preprint

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Does the proof-of-work protocol serve its intended purpose of supporting decentralized cryptocurrency mining? To address this question, we develop a game-theoretical model where miners first invest in hardware to improve the efficiency of their operations, and then compete for mining rewards in a rentseeking game. We argue that because of capacity constraints faced by miners, centralization in mining is lower than indicated by both public discourse and recent academic work. We show that advancements in hardware efficiency do not necessarily lead to larger miners increasing their advantage, but rather allow smaller miners to expand and new miners to enter the competition. Our calibrated model illustrates that hardware efficiency has a small impact on the cost of attacking a network, while the mining reward has a significant impact. This highlights the vulnerability of smaller and emerging cryptocurrencies, as well as of established cryptocurrencies transitioning to a fee-based mining reward scheme.

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“…A more detailed review of existing literature devoted to research on cryptocurrencies in the context of financial markets is available in Refs. [91,92].…”

Section: Cryptocurrency Tradingmentioning

confidence: 99%

Multiscale characteristics of the emerging global cryptocurrency market

Wątorek,

Drożdż,

Kwapień

et al. 2020

Preprint

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Modern financial markets are characterized by a rapid flow of information, a vast number of participants having diversified investment horizons, and multiple feedback mechanisms, which collectively lead to the emergence of complex phenomena, for example speculative bubbles or crashes. As such, they are considered as one of the most complex systems known. Numerous studies have illuminated stylized facts, also called complexity characteristics, which are observed across the vast majority of financial markets. These include the so-called "fat tails" of the returns distribution, volatility clustering, the "long memory", strong stochasticity alongside non-linear correlations, persistence, and the effects resembling fractality and even multifractality.The striking development of the cryptocurrency market over the last few years -from being entirely peripheral to capitalizing at the level of an intermediatesize stock exchange -provides a unique opportunity to observe its evolution in a short period. The availability of high-frequency data allows conducting advanced statistical analysis of fluctuations on cryptocurrency exchanges right from their birth up to the present day. This opens a window that allows quantifying the evolutionary changes in the complexity characteristics which accompany market emergence and maturation. The purpose of the present review, then, is to examine the properties of the cryptocurrency market and the associated phenomena. The aim is to clarify to what extent, after such an impetuous development, the characteristics of the complexity of exchange rates on the cryptocurrency market have become similar to traditional and mature markets, such as stocks, bonds, commodities or currencies.The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been consistently shown. The central part of the review surveys the analysis of cryptocurrency price changes on various platforms. The statistical properties of the fluctuations in the cryptocurrency market have been compared to the traditional markets. With the help of the latest statistical physics methods, namely, the multifractal cross-correlation analysis and

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Cryptocurrency Trading: A Comprehensive Survey

Cited by 10 publications

References 194 publications

A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin

A multimodal model with Twitter FinBERT embeddings for extreme price movement prediction of Bitcoin

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?

Multiscale characteristics of the emerging global cryptocurrency market

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