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Trend prediction classification for high frequency Bitcoin time series with deep learning

Shintate, Takuya; Pichl, Lukáš - In: Journal of risk and financial management : JRFM 12 (2019) 1/17, pp. 1-15

We provide a trend prediction classification framework named the random sampling method (RSM) for cryptocurrency time … two classical baseline methods in the case of the prediction of unstable Bitcoin prices in the OkCoin market and show that …

Persistent link: https://www.econbiz.de/10011961485

Bitcoin intraday time series momentum

Shen, Dehua; Urquhart, Andrew; Wang, Pengfei - In: The financial review : the official publication of the … 57 (2022) 2, pp. 319-344

Persistent link: https://www.econbiz.de/10013189512

Forecasting value-at-risk of cryptocurrencies with riskmetrics type models

Liu, Wei; Semeyutin, Artur; Lau, Chi Keung; Gozgor, Giray - In: Research in international business and finance 54 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012581358

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

Figà-Talamanca, Gianna; Focardi, Sergio M.; Patacca, Marco - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 863-882

Persistent link: https://www.econbiz.de/10012795004

Essays on machine learning and finance

Schnaubelt, Matthias - 2020

Persistent link: https://www.econbiz.de/10012288443

Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets

Corbet, Shaen; Katsiampa, Paraskevi; Lau, Chi Keung - In: International review of financial analysis 71 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012437167

Directional predictability and volatility spillover effect from stock market indexes to Bitcoin : evidence from developed and emerging markets

Omri, Imen - In: The journal of risk finance : JRF 24 (2023) 2, pp. 226-243

Persistent link: https://www.econbiz.de/10014232428

Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model

Jiang, Kunliang; Zeng, Linhui; Song, Jiashan; Liu, Yimeng - In: Research in international business and finance 61 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10014240057

Forecasting cryptocurrency volatility

Catania, Leopoldo; Grassi, Stefano - In: International journal of forecasting 38 (2022) 3, pp. 878-894

Persistent link: https://www.econbiz.de/10013349436

Out-of-sample prediction of Bitcoin realized volatility : do other cryptocurrencies help?

Yi, Yongsheng; He, Mengxi; Zhang, Yaojie - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013534118