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). With our paper, we pose the question how such a statistical arbitrage …

"pump-and-dump schemes" in the crypto markets. To do that, we estimate the volatility spillovers from Bitcoin to altcoin and … the cryptos' own risk spillovers during bull and bear markets. The spillover results from Bitcoin to altcoin provide mixed …This article examines the asymmetric volatility spillover effects between Bitcoin and alternative coin markets at the …

Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other …, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation … analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical …

-term changes in Bitcoin and Litecoin prices. Moreover, the findings generated from the multiple wavelet coherence illustrate the … simultaneous contribution of cryptocurrencies and the Sentix Investor Confidence index in explaining the Bitcoin index movement …-dependent relationship of Bitcoin prices with alternative cryptocurrencies and the Sentix Investor Confidence index, mostly pronounced during …

with Gradient Penalty (WGAN-GP) into the field of the stock market, futures market and cryptocurrency market. We train our … contracts listed on the Chicago Mercantile Exchange and Japan Exchange Group, and cryptocurrency spots and perpetual contracts … approach with minute intervals across stocks, futures and cryptocurrency markets. We also contribute to quantitative analysis …

Cryptocurrency markets have experienced large growth in recent years, with an increase in the number and diversity of … traded assets. Previous work has addressed the economic properties of Bitcoin with regards to its hedging or diversification … variety of cryptocurrencies. In this paper, we report the results of studying the most representative cryptocurrency of each …

market, CBOE Bitcoin futures, and crude oil to hedge against unexpected movements in the cryptocurrency market. …-haven properties in cryptocurrency investments. We sampled 146 studies published in journals ranked in the Association of Business … for cryptocurrency returns. Additionally, we show that investors should consider Gold, along with the European carbon …

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization … evaluated by comparing the portfolios both with and without Bitcoin under frameworks ranging from equal-weighted, risk …-parity, and semi-constrained to unconstrained. This study suggests that Bitcoin, due to its exotic nature, unwavering appeal, and …

This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn … that the connectedness is 23.49%, indicating a low level of connection between Bitcoin and the commodity volatilities …. Bitcoin contributes only 2.55% to the connectedness, while the wheat volatility index accounts for 12.51% of the total …