3 papers
q-fin.ST2020
Fear and Volatility in Digital Assets
Faizaan Pervaiz, Christopher Goh, Ashley Pennington +3
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagge…
q-fin.ST2020
Deep Learning for Digital Asset Limit Order Books
Rakshit Jha, Mattijs De Paepe, Samuel Holt +2
This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data. On a 2 second prediction time horizon we achieve 71\% walk-forward a…
q-fin.ST2020
A Decade of Evidence of Trend Following Investing in Cryptocurrencies
Evans Rozario, Samuel Holt, James West +1
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade…