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Advanced Studies of Financial Technologies and Cryptocurrency Markets

  • Book
  • © 2020

Overview

Editors:
  1. Lukáš Pichl

    1. Department of Natural Sciences, International Christian University, Mitaka, Japan

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  2. Cheoljun Eom

    1. Department of Business Administration, Pusan National University, Busan, Korea (Republic of)

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    You can also search for this editor in PubMed   Google Scholar

  3. Enrico Scalas

    1. Department of Mathematics, University of Sussex, Brighton, UK

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  4. Taisei Kaizoji

    1. Department of Economics and Business, International Christian University, Mitaka, Japan

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  • Illustrates how studies on cryptocurrencies are becoming influential in the literature on finance
  • Presents insights into cryptocurrency markets to help readers gain an understanding of the future of financial markets
  • Explains how understanding financial markets has huge policy implications for avoiding financial disaster

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Table of contents (13 chapters)

  1. Front Matter

    Pages i-vi
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  2. Financial Innovations and Blockchain Applications: New Digital Paradigms in Global Cybersociety

    • Lukáš Pichl, Cheoljun Eom, Enrico Scalas, Taisei Kaizoji
    Pages 1-9

  3. Financial Contagion through Asset Price and Interbank Networks

    • Jun Sakazaki, Naoki Makimoto
    Pages 11-33

  4. Optimal Portfolios on Mean-Diversification Efficient Frontiers

    • Adeola Oyenubi
    Pages 35-63

  5. Time Series Prediction with LSTM Networks and Its Application to Equity Investment

    • Ken Matsumoto, Naoki Makimoto
    Pages 65-88

  6. A Response Function of Merton Model and Kinetic Ising Model

    • Masato Hisakado, Takuya Kaneko
    Pages 89-100

  7. Bitcoin’s Deviations from Satoshi’s World

    • Naoyuki Iwashita
    Pages 101-116

  8. Hodge Decomposition of Bitcoin Money Flow

    • Yoshi Fujiwara, Rubaiyat Islam
    Pages 117-137

  9. Time Series Analysis of Relationships Among Crypto-asset Exchange Rates

    • Takeshi Yoshihara, Tomoo Inoue, Taisei Kaizoji
    Pages 139-162

  10. The Optimal Foreign Exchange Futures Hedge on the Bitcoin Exchange Rate: An Application to the U.S. Dollar and the Euro

    • Zheng Nan, Taisei Kaizoji
    Pages 163-181

  11. Time Series Analysis of Ether Cryptocurrency Prices: Efficiency, Predictability, and Arbitrage on Exchange Rates

    • Lukáš Pichl, Zheng Nan, Taisei Kaizoji
    Pages 183-196

  12. Estimating the Proportion of Informed Traders in BTC-USD Market Using Spread and Range

    • Ping Chen Tsai, Shou Huang Dai
    Pages 197-210

  13. Forecasting of Cryptocurrency Prices Using Machine Learning

    • Vasily Derbentsev, Andriy Matviychuk, Vladimir N. Soloviev
    Pages 211-231

  14. Bitcoin and Its Offspring: A Volatility Risk Approach

    • Walter Bazán-Palomino
    Pages 233-256
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Keywords

About this book

This book shows that research contributions from different fields—finance, economics, computer sciences, and physics—can provide useful insights into key issues in financial and cryptocurrency markets. Presenting the latest empirical and theoretical advances, it helps readers gain a better understanding of financial markets and cryptocurrencies.
 
Bitcoin was the first cryptocurrency to use a peer-to-peer network to prevent double-spending and to control its issue without the need for a central authority, and it has attracted wide public attention since its introduction. In recent years, the academic community has also started gaining interest in cyptocurrencies, and research in the field has grown rapidly. This book presents is a collection of the latest work on cryptocurrency markets and the properties of those markets.

This book will appeal to graduate students and researchers from disciplines such as finance, economics, financial engineering, computer science, physics and applied mathematics working in the field of financial markets, including cryptocurrency markets.

Editors and Affiliations

  • Department of Natural Sciences, International Christian University, Mitaka, Japan

    Lukáš Pichl

  • Department of Business Administration, Pusan National University, Busan, Korea (Republic of)

    Cheoljun Eom

  • Department of Mathematics, University of Sussex, Brighton, UK

    Enrico Scalas

  • Department of Economics and Business, International Christian University, Mitaka, Japan

    Taisei Kaizoji

About the editors

Lukas Pichl, International Christian University


Cheoljun Eom, Pusan National University


Enrico Scalas, University of Sussex


Taisei Kaizoji, International Christian University

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