The aim of this paper is to derive the main factors that separate cryptocurrencies from the classical assets, by using various classification techniques applied to the daily time series of log-returns. In this sense, a daily time series of asset returns (either cryptocurrencies or classical...

The aim of this paper is to prove the phenotypic convergence of cryptocurrencies, in the sense that individual cryptocurrencies respond to similar selection pressures by developing similar characteristics. In order to retrieve the cryptocurrencies phenotype, we treat cryptocurrencies as...

The aim of this paper is to prove the phenotypic convergence of cryptocurrencies, in the sense that individual cryptocurrencies respond to similar selection pressures by developing similar characteristics. In order to retrieve the cryptocurrencies phenotype, we treat cryptocurrencies as...

In linear regression of Y on X(2 Rp) with parameters (2 Rp+1); statistical inference is unreliable when observations are obtained from gross-error model, F;G = (1??)F +G; instead of the assumed probability F;G is gross-error probability, 0 < < 1: When G is unit mass at (x; y); Residual's Inuence...

In deconvolution in Rd; d 1; with mixing density p(2 P) and kernel h; the mixture density fp(2 Fp) can always be estimated with f^pn; ^pn 2 P; via Minimum Distance Estimation approaches proposed herein, with calculation of f^pn's upper L1-error rate, an; in probability or in risk; h is either...

Stock prices will rarely follow the assumed model but, when stock's transaction times are dense in the interval $[t_0,T),$ they determine risk neutral probability (-ies) ${\cal P}^*$ for the stock price at time $T.$ The remaining available risk neutral probabilities at $T$ correspond to stock...

A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-parameter estimation problem, thus justifying calling C Bayes (B-)price. The result provides new insight in option...

A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework. Strategies-probabilities $P_{t_0,n}$ and $P_{T,n}$ are thus...

A new projection-pursuit index is used to identify clusters and other structures in multivariate data. It is obtained from the variance decompositions of the data’s one-dimensional projections, without assuming a model for the data or that the number of clusters is known. The index is affine...