Modelling Crypto-Currencies Financial Time-Series

Empirical Analysis of Crypto Currencies

Analysis of the currency networks is not easy as the transactions are not centralized but rather take place over a large number of banks and commercial entities. Digital crypto currencies, however, require a public ledger to work and provide an opportunity for analysis of currency transactions. A crypto currency is a medium of exchange using cryptography to secure the transactions and to contro...

The Art of Crypto Currencies: A Comprehensive Analysis of Popular Crypto Currencies

Crypto Currencies have recently gained enormous popularity amongst the general public. With each passing day, more and more companies are radically accepting crypto currencies in their payment systems, paving way for an economic revolution. Currently more than 700 crypto-currencies are available at Coindesk alone for trade purposes. As of November 2016, the Crypto currencies hold a total market...

Modelling and Prediction of Financial Time Series

We consider statistical aspects of the modelling and prediction theory of time series in one and many dimensions. We discuss Lévy-based and general models, and the stationary and non-stationary cases. Our starting point is the recent pair of surveys, Szegö’s theorem and its probabilistic descendants and Multivariate prediction and matrix Szegö theory, by this author.

Modelling Financial Time Series with S-PLUS

Modelling Financial Time series using Grammatical Evolution

The traditional models of price, and its statistical signatures are often based on limiting assumptions, such as linearity. Moreover, the model developer is faced with the model selection problem, and model uncertainty. In this paper we introduce a method based on Grammatical Evolution (GE) to evolve models for predicting financial returns, and we examine the profitability of these models. Our ...