Cover Image

An empirical study of market risk factors for Bitcoin

Fuente: arXiv

Saved in:

Bibliographic Details
Main Author:	Singh, Shubham
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance Computational Finance Mathematical Finance
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Machine Learning Methods for Pricing Financial Derivatives
by: Fan, Lei, et al.
Published: (2024)

Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series
by: Žignić, Lucija, et al.
Published: (2024)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
by: Łabędzki, Mikołaj
Published: (2025)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
by: Kumar, Pulikandala Nithish, et al.
Published: (2024)

Market information of the fractional stochastic regularity model
by: Angelini, Daniele, et al.
Published: (2024)

Model-Free Deep Hedging with Transaction Costs and Light Data Requirements
by: Brugière, Pierre, et al.
Published: (2025)

Implied and Realized Volatility: A Study of Distributions and the Distribution of Difference
by: Moghaddam, M. Dashti, et al.
Published: (2019)

Time-Varying Factor-Augmented Models for Volatility Forecasting
by: Zhang, Duo, et al.
Published: (2025)

Distributions of Historic Market Data -- Relaxation and Correlations
by: Moghaddam, M. Dashti, et al.
Published: (2019)

Combined Mutiplicative-Heston Model for Stochastic Volatility
by: Moghaddam, M. Dashti, et al.
Published: (2018)

Consistent Estimation of the High-Dimensional Efficient Frontier
by: Bodnar, Taras, et al.
Published: (2024)

Signal inference in financial stock return correlations through phase-ordering kinetics in the quenched regime
by: Achitouv, Ixandra, et al.
Published: (2024)

Analysis of market efficiency in main stock markets: using Karman-Filter as an approach
by: Liu, Beier, et al.
Published: (2024)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling
by: Pontiggia, Milan
Published: (2025)

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models
by: Schroers, Dennis
Published: (2024)

Do News and Social Media Tell the Same Story? Constructing and Comparing Sentiment Spillover Networks
by: Wu, Fan, et al.
Published: (2026)

Volatility of Volatility and Leverage Effect from Options
by: Chong, Carsten H., et al.
Published: (2023)

Mean-field theory of the Santa Fe model revisited: a systematic derivation from an exact BBGKY hierarchy for the zero-intelligence limit-order book model
by: Wakatsuki, Taiki, et al.
Published: (2025)

An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
by: Li, Haochen, et al.
Published: (2023)

Detecting data-driven robust statistical arbitrage strategies with deep neural networks
by: Neufeld, Ariel, et al.
Published: (2022)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
by: Luwang, Salam Rabindrajit, et al.
Published: (2026)

Generative Path-Law Jump-Diffusion: Sequential MMD-Gradient Flows and Generalisation Bounds in Marcus-Signature RKHS
by: Bloch, Daniel
Published: (2026)

Model-free Analysis of Dynamic Trading Strategies
by: Ananova, Anna, et al.
Published: (2020)

Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure
by: Chen, Minshuo, et al.
Published: (2025)

Marketron games: Self-propelling stocks vs dumb money and metastable dynamics of the Good, Bad and Ugly markets
by: Halperin, I., et al.
Published: (2025)

Fees in AMMs: A quantitative study
by: Alexander, Abe, et al.
Published: (2024)

High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
by: Li, Guanlin, et al.
Published: (2025)

The Negative Drift of a Limit Order Fill
by: DeLise, Timothy
Published: (2024)

Market Makers and Risk Aversion: A Hamiltonian Approach to the Excess Volatility Puzzle
by: Hicks, Will
Published: (2026)

Data-Driven Risk Measurement by SV-GARCH-EVT Model
by: Xiao, Minheng
Published: (2022)

Forecasting Volatility with Machine Learning and Rough Volatility: Example from the Crypto-Winter
by: Tang, Siu Hin, et al.
Published: (2023)

Dynamic Asset Pricing Theory for Life Contingent Risks
by: Ling, Patrick
Published: (2025)

Generalized Beta Prime Distribution: Stochastic Model of Economic Exchange and Properties of Inequality Indices
by: Moghaddam, M. Dashti, et al.
Published: (2019)

Calibrated rank volatility stabilized models for large equity markets
by: Itkin, David, et al.
Published: (2024)

Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions
by: Aufiero, Sabrina, et al.
Published: (2025)

A nonparametric test for rough volatility
by: Chong, Carsten H., et al.
Published: (2024)

Trends and Reversion in Financial Markets on Time Scales from Minutes to Decades
by: Safari, Sara A., et al.
Published: (2025)

A case study on different one-factor Cheyette models for short maturity caplet calibration
by: Polala, Arun Kumar, et al.
Published: (2024)

Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
by: Gross, Eden, et al.
Published: (2025)