The Experts below are selected from a list of 1455 Experts worldwide ranked by ideXlab platform
Anoop S Kumar - One of the best experts on this subject based on the ideXlab platform.
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co movement in Crypto Currency markets evidences from wavelet analysis
Financial Innovation, 2019Co-Authors: Anoop S Kumar, Taufeeq AjazAbstract:We study the time varying co-movement patterns of the Crypto-Currency prices with the help of wavelet-based methods; employing daily bilateral exchange rate of four major Crypto-currencies namely Bitcoin, Ethereum, Lite and Dashcoin. First, we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation. Further, Wavelet Local Multiple Correlation for the given Crypto-Currency prices are estimated across different time-scales. From the results, it is found that that the correlation follows an aperiodic cyclical nature, and the Crypto-Currency prices are driven by Bitcoin price movements. Based on the results obtained, we suggest that constructing a portfolio based on Crypto-currencies may be risky at this point of time as the other Crypto-Currency prices are mainly driven by Bitcoin prices, and any shocks in the latter is immediately transformed to the former.
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volatility spillover in Crypto Currency markets some evidences from garch and wavelet analysis
Physica A-statistical Mechanics and Its Applications, 2019Co-Authors: Anoop S Kumar, S AnandaraoAbstract:Abstract We study the dynamics of volatility spillover across four major CryptoCurrency returns namely Bitcoin, Ethereum, Ripple and Litecoin from 15 − 08 − 2015 to 18 − 01 − 2018 . In the first step, an IGARCH (1,1)-DCC (1,1) multivariate GARCH model is estimated to quantify the nature of volatility spillovers. From GARCH results, it is seen that there is statistically significant volatility spillover from Bitcoin to Ethereum and Litecoin during the period of analysis. The conditional correlation measures point towards the possibility of moderate return co-movement among the Crypto-Currency returns. The conditional covariance measures show negligible volatility spillover during the initial periods and provide evidence towards increased volatility spillover after 2017. Wavelet coherence measures shows evidence towards correlation among the Crypto-currencies to be persistent across the short run, while the pairwise wavelet cross-spectral analysis confirms the findings obtained from conditional covariance measures. It is found that other Crypto-currencies are influenced by fluctuations in bitcoin prices. Overall, the results indicate the possibility of turbulence in the Crypto-Currency markets and point towards the possibility of herding behaviour in Crypto-Currency markets.
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herding in Crypto Currency markets
Annals of Financial Economics, 2018Co-Authors: Taufeeq Ajaz, Anoop S KumarAbstract:We test for herding in Crypto-Currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major Crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-201...
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HERDING IN Crypto-Currency MARKETS
Annals of Financial Economics, 2018Co-Authors: Taufeeq Ajaz, Anoop S KumarAbstract:We test for herding in Crypto-Currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major Crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.
Khoukhi Lyes - One of the best experts on this subject based on the ideXlab platform.
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An IoT Blockchain Architecture Using Oracles and Smart Contracts: the Use-Case of a Food Supply Chain
IEEE, 2019Co-Authors: Moudoud Hajar, Cherkaoui Soumaya, Khoukhi LyesAbstract:International audienceThe blockchain is a distributed technology which allows establishing trust among unreliable users who interact and perform transactions with each other. While blockchain technology has been mainly used for Crypto-Currency, it has emerged as an enabling technology for establishing trust in the realm of the Internet of Things (IoT). Nevertheless, a naive usage of the blockchain for IoT leads to high delays and extensive computational power. In this paper, we propose a blockchain architecture dedicated to being used in a supply chain which comprises different distributed IoT entities. We propose a lightweight consensus for this architecture, called LC4IoT. The consensus is evaluated through extensive simulations. The results show that the proposed consensus uses low computational power, storage capability and latency
Taufeeq Ajaz - One of the best experts on this subject based on the ideXlab platform.
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co movement in Crypto Currency markets evidences from wavelet analysis
Financial Innovation, 2019Co-Authors: Anoop S Kumar, Taufeeq AjazAbstract:We study the time varying co-movement patterns of the Crypto-Currency prices with the help of wavelet-based methods; employing daily bilateral exchange rate of four major Crypto-currencies namely Bitcoin, Ethereum, Lite and Dashcoin. First, we identify Bitcoin as potential market leader using Wavelet multiple correlation and Cross correlation. Further, Wavelet Local Multiple Correlation for the given Crypto-Currency prices are estimated across different time-scales. From the results, it is found that that the correlation follows an aperiodic cyclical nature, and the Crypto-Currency prices are driven by Bitcoin price movements. Based on the results obtained, we suggest that constructing a portfolio based on Crypto-currencies may be risky at this point of time as the other Crypto-Currency prices are mainly driven by Bitcoin prices, and any shocks in the latter is immediately transformed to the former.
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herding in Crypto Currency markets
Annals of Financial Economics, 2018Co-Authors: Taufeeq Ajaz, Anoop S KumarAbstract:We test for herding in Crypto-Currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major Crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-201...
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HERDING IN Crypto-Currency MARKETS
Annals of Financial Economics, 2018Co-Authors: Taufeeq Ajaz, Anoop S KumarAbstract:We test for herding in Crypto-Currency markets using the CSAD method of Chang et al. (2000). Daily returns of 6 major Crypto-currencies and market index CCI30 for the period 07-08-2015 t0 18-01-2018 is used. Possibility of herding under up and down market and high and low volatility is tested. Herding is found under up and down market activity, indicating over-enthusiasm and over-reaction. Market volatility is found not to have any significant impact on herding behavior. Herding is found to be dependent upon the market activity rather than market volatility.
Eduardo Roca - One of the best experts on this subject based on the ideXlab platform.
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Crypto Currency bubbles an application of the phillips shi yu 2013 methodology on mt gox bitcoin prices
Applied Economics, 2015Co-Authors: Adrian Cheung, Eduardo RocaAbstract:The creation of bitcoin heralded the arrival of digital or Crypto-Currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growt...
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Crypto Currency bubbles an application of the phillips shi yu 2013 methodology on mt gox bitcoin prices
Applied Economics, 2015Co-Authors: Adrian Cheung, Eduardo Roca, Jenje SuAbstract:The creation of bitcoin heralded the arrival of digital or Crypto-Currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin's biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles - that of Phillips et al . (2013a). Over the period 2010-2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011-2013 lasting from 66 to 106 days, with the last and biggest one being the one that 'broke the camel's back' - the demise of the Mt Gox exchange.
Oleg Pavenkov - One of the best experts on this subject based on the ideXlab platform.
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peculiarities of using blockchain technologies in Crypto Currency s turnout
Social Science Research Network, 2018Co-Authors: Mariia Rubtcova, Oleg PavenkovAbstract:The paper is devoted to the analysis of the peculiarities of blockchain technology in Crypto-Currency’s turnout. Blockchain is the sequential chain of information blocks which was created according to the certain rules, where in each subsequent block the information of the previous block is updated or can be changed. The blockchain does not have server centers. Particles of information are distributed across all connected computers, which exclude the possibility of hacker attacks. From the point of view of Crypto-Currency’s turnout advantages of the blockchain are the stability of the system to hacker attacks and technical failures; increased security due to the use of asymmetric encryption; impossibility of "returning back" the transaction; transparency of work with data; the cross-border nature of operations and the exchange of data. We made analysis the following disadvantages of blockchain in Crypto-Currency’s turnout: the use of Cryptography cause difficulties in the identification of the user of Crypto-currencies and tokens; the decentralization of the network excludes the possibility of monitoring the production of Crypto-Currency, and the cross-border nature of the blockchain causes the need of integration of efforts to identify and investigate cybercrimes by criminological agencies. We made the conclusion that using blockchain technology provide efficiency Crypto-Currency’s turnout but creates such negative effects as cybercrimes, cyber-terrorism etc.