Search Results (590)

Understanding structural regime shifts in crypto asset markets is vital for early detection of systemic risk. This study applies the Generalized Sup Augmented Dickey–Fuller (GSADF) test to daily high-frequency price data of five major crypto assets—BTC, ETH, SOL, AAVE, and BCH—from 2023 to 2025. The results reveal asset-specific structural breaks: BTC and BCH aligned with macroeconomic shocks, while DeFi tokens (e.g., AAVE, SOL) exhibited fragmented, project-driven shifts. The S&P 500 index, in contrast, showed no persistent regime shifts, indicating greater structural stability. To examine inter-asset linkages, we construct co-occurrence matrices based on GSADF breakpoints. These reveal strong co-explosivity between BTC and other assets, and unexpectedly weak synchronization between ETH and AAVE, underscoring the sectoral idiosyncrasies of DeFi tokens. While the GSADF test remains central to our analysis, we also employ a Markov Switching Model (MSM) as a secondary tool to capture short-term volatility clustering. Together, these methods provide a layered view of long- and short-term market dynamics. This study highlights crypto markets’ structural heterogeneity and proposes scalable computational frameworks for real-time monitoring of explosive behavior. Full article

As a new type of production factor, data possesses multidimensional application value, and its pivotal role is becoming increasingly prominent in the aviation sector. Data sharing can significantly enhance the utilization efficiency of data resources and serves as one of the key tasks in building smart civil aviation. However, currently, data silos are pervasive, with vast amounts of data only being utilized and analyzed within limited scopes, leaving their full potential untapped. The challenges in data sharing primarily stem from three aspects: (1) Data owners harbor concerns regarding data security and privacy. (2) The highly dynamic and real-time nature of aviation operations imposes stringent requirements on the timeliness, stability, and reliability of data sharing, thereby constraining its scope and extent. (3) The lack of reasonable incentive mechanisms results in insufficient motivation for data owners to share. Consequently, addressing the issue of aviation big data sharing holds significant importance. Since the release of the Bitcoin whitepaper in 2008, blockchain technology has achieved continuous breakthroughs in the fields of data security and collaborative computing. Its unique characteristics—decentralization, tamper-proofing, traceability, and scalability—lay the foundation for its integration with aviation. Blockchain can deeply integrate with air traffic management (ATM) operations, effectively resolving trust, efficiency, and collaboration challenges in distributed scenarios for ATM data. To address the heterogeneous data usage requirements of different ATM stakeholders, this paper constructs a blockchain-based multi-level data security sharing architecture, enabling fine-grained management and secure collaboration. Furthermore, to meet the stringent timeliness demands of aviation operations and the storage pressure posed by massive data, this paper optimizes blockchain storage deployment and consensus mechanisms, thereby enhancing system scalability and processing efficiency. Additionally, a dual-mode data-sharing solution combining raw data sharing and model sharing is proposed, offering a novel approach to aviation big data sharing. Security and formal analyses demonstrate that the proposed solution is both secure and effective. Full article

Today, blockchain technologies are a separate, rapidly developing area. With rapid development, they open up a number of scientific problems. One of these problems is the problem of reliability, which is primarily associated with the use of cryptographic primitives. The threat of the emergence of quantum computers is now widely discussed, in connection with which the direction of post-quantum cryptography is actively developing. Nevertheless, the most popular blockchain platforms (such as Bitcoin and Ethereum) use asymmetric cryptography based on elliptic curves. Here, cryptographic primitives for blockchain systems are divided into four groups according to their functionality: keyless, single-key, dual-key, and hybrid. The main attention in the work is paid to the most significant cryptographic primitives for blockchain systems: keyless and single-key. This manuscript discusses possible scenarios in which, during practical implementation, the mathematical foundations embedded in the algorithms for generating a digital signature and encrypting data using algorithms based on elliptic curves are violated. In this case, vulnerabilities arise that can lead to the compromise of a private key or a substitution of a digital signature. We consider cases of vulnerabilities in a blockchain system due to incorrect use of a cryptographic primitive, describe the problem, formulate the problem statement, and assess its complexity for each case. For each case, strict calculations of the maximum computational costs are given when the conditions of the case under consideration are met. Among other things, we present a new version of the encryption algorithm for data stored in blockchain systems or transmitted between blockchain systems using elliptic curves. This algorithm is not the main blockchain algorithm and is not included in the core of modern blockchain systems. This algorithm allows the use of the same keys that system users have in order to store sensitive user data in an open blockchain database in encrypted form. At the same time, possible vulnerabilities that may arise from incorrect implementation of this algorithm are considered. The scenarios formulated in the article can be used to test the reliability of both newly created blockchain platforms and to study long-existing ones. Full article

This paper develops a novel entropy-based framework to quantify tail risk and detect speculative bubbles in financial markets. By integrating extreme value theory with information theory, I introduce the Tail-Weighted Entropy (TWE) measure, which captures how information scales with extremeness in asset price distributions. I derive explicit bounds for TWE under heavy-tailed models and establish its connection to tail index parameters, revealing a phase transition in entropy decay rates during bubble formation. Empirically, I demonstrate that TWE-based signals detect crises in equities, commodities, and cryptocurrencies days earlier than traditional variance-ratio tests, with Bitcoin’s 2021 collapse identified weeks prior to the peak. The results show that entropy decay—not volatility explosions—serves as the primary precursor to systemic risk, offering policymakers a robust tool for preemptive crisis management. Full article

This paper develops a novel modeling framework that integrates time-varying quantile-based spillover effects into a regime-switching realized volatility model. A dynamic spillover factor is constructed by identifying the most influential contributors to Bitcoin’s realized volatility across different quantile levels. This quantile-layered structure enables the model to capture heterogeneous spillover paths under varying market conditions at a macro level while also enhancing the sensitivity of volatility regime identification via its incorporation into a time-varying transition probability (TVTP) Markov-switching mechanism at a micro level. Empirical results based on the cryptocurrency market demonstrate the superior forecasting performance of the proposed TVTP-MS-HAR model relative to standard benchmark models. The model exhibits strong capability in identifying state-dependent spillovers and capturing nonlinear market dynamics. The findings further reveal an asymmetric dual-tail amplification and time-varying interconnectedness in the spillover effects, along with a pronounced asymmetry between market capitalization and systemic importance. Compared to decomposition-based approaches, the X-RV type of models—especially when combined with the proposed quantile-driven factor—offers improved robustness and predictive accuracy in the presence of extreme market behavior. This paper offers a coherent approach that bridges phenomenon identification, source localization, and predictive mechanism construction, contributing to both the academic understanding and practical risk assessment of cryptocurrency markets. Full article

Mathematical modeling plays a crucial role in supporting decision-making across a wide range of scientific disciplines. These models often involve multiple parameters, the estimation of which is critical to assessing their reliability and predictive power. Recent advancements in artificial intelligence have made it possible to efficiently estimate such parameters with high accuracy. In this study, we focus on modeling the dynamics of cryptocurrency market shares by employing a Lotka–Volterra system. We introduce a methodology based on a deep neural network (DNN) to estimate the parameters of the Lotka–Volterra model, which are subsequently used to numerically solve the system using a fourth-order Runge–Kutta method. The proposed approach, when applied to real-world market share data for Bitcoin, Ethereum, and alternative cryptocurrencies, demonstrates excellent alignment with empirical observations. Our method achieves RMSEs of 0.0687 (BTC), 0.0268 (ETH), and 0.0558 (ALTs)—an over 50% reduction in error relative to ARIMA(2,1,2) and over 25% relative to a standard NN–ODE model—thereby underscoring its effectiveness for cryptocurrency-market forecasting. The entire framework, including neural network training and Runge–Kutta integration, was implemented in MATLAB R2024a (version 24.1). Full article

This study examined the dynamic interconnectedness and portfolio implications within the cryptocurrency ecosystem, focusing on five representative digital assets across the core functional categories: Layer 1 cryptocurrencies (Bitcoin (BTC) and Ethereum (ETH)), decentralized finance (Uniswap (UNI)), stablecoins (Dai), and crypto infrastructure tokens (Maker (MKR)). Using the Extended Joint Connectedness Approach within a Time-Varying Parameter VAR framework, the analysis captured time-varying spillovers of return shocks and revealed a heterogeneous structure of systemic roles. Stablecoins consistently acted as net absorbers of shocks, reinforcing their defensive profile, while governance tokens, such as MKR, emerged as persistent net transmitters of systemic risk. Foundational assets like BTC and ETH predominantly absorbed shocks, contrary to their perceived dominance. These systemic roles were further translated into portfolio design, where connectedness-aware strategies, particularly the Minimum Connectedness Portfolio, demonstrated superior performance relative to traditional variance-based allocations, delivering enhanced risk-adjusted returns and resilience during stress periods. By linking return-based systemic interdependencies with practical asset allocation, the study offers a unified framework for understanding and managing crypto network risk. The findings carry practical relevance for portfolio managers, algorithmic strategy developers, and policymakers concerned with financial stability in digital asset markets. Full article

Amid the growing debate over how cryptocurrencies are reshaping global finance, this study explores the nexus between Bitcoin, Brent Crude Oil, Gold and the U.S. Dollar Index. We used a time-varying vector autoregressive (tvVAR) model to examine the connection among these four assets during the Trump (2017–2020) and Biden (2021–2024) governments. The 48-week return forecast of the Bitcoin–Gold correlation was also conducted by using the Bayesian Structural Time Series (BSTS) model. Results indicate that Bitcoin was the most volatile asset, while the U.S. Dollar remained the least volatile under both regimes. Under Trump, U.S. Dollar significantly influenced Oil and Bitcoin while Bitcoin and Gold were negatively linked to Oil and positively associated with U.S. Dollar. An inverse relationship between Bitcoin and Gold also emerged. Under Biden, Bitcoin, Gold, and U.S. Dollar all significantly affected Oil with Bitcoin showing a positive impact. Bitcoin and Gold remained negatively correlated though not significantly, and the Dollar maintained positive ties with both. Forecasts show a positive link between Bitcoin and Gold in the coming year. However, Bitcoin does not exhibit consistent characteristics of a safe-haven asset during the U.S. presidential transitions examined, largely due to its high volatility and unstable correlations with a traditional safe-haven asset, Gold. This study contributes to the understanding of shifting relationships between digital and traditional assets across political regimes. Full article

We present Bayesian Binary Search (BBS), a novel framework that bridges statistical learning theory/probabilistic machine learning and binary search. BBS utilizes probabilistic methods to learn the underlying probability density of the search space. This learned distribution then informs a modified bisection strategy, where the split point is determined by probability density rather than the conventional midpoint. This learning process for search space density estimation can be achieved through various supervised probabilistic machine learning techniques (e.g., Gaussian Process Regression, Bayesian Neural Networks, and Quantile Regression) or unsupervised statistical learning algorithms (e.g., Gaussian Mixture Models, Kernel Density Estimation (KDE), and Maximum Likelihood Estimation (MLE)). Our results demonstrate substantial efficiency improvements using BBS on both synthetic data with diverse distributions and in a real-world scenario involving Bitcoin Lightning Network channel balance probing (3–6% efficiency gain), where BBS is currently in production. Full article

As investment portfolios become increasingly diversified and financial asset risks grow more complex, accurately forecasting the risk of multiple asset classes through mathematical modeling and identifying their heterogeneity has emerged as a critical topic in financial research. This study examines the volatility and tail risk of gold, crude oil, Bitcoin, and selected stock markets. Methodologically, we propose two improved Value at Risk (VaR) forecasting models that combine the autoregressive (AR) model, Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model, Extreme Value Theory (EVT), skewed heavy-tailed distributions, and a rolling window estimation approach. The model’s performance is evaluated using the Kupiec test and the Christoffersen test, both of which indicate that traditional VaR models have become inadequate under current complex risk conditions. The proposed models demonstrate superior accuracy in predicting VaR and are applicable to a wide range of financial assets. Empirical results reveal that Bitcoin and the Chinese stock market exhibit no leverage effect, indicating distinct risk profiles. Among the assets analyzed, Bitcoin and crude oil are associated with the highest levels of risk, gold with the lowest, and stock markets occupy an intermediate position. The findings offer practical implications for asset allocation and policy design. Full article

This study proposes a hybrid approach to analyze and forecast non-stationary financial time series by combining statistical models with deep neural networks. A model is introduced that integrates three key components: the Generalized Autoregressive Score (GAS) model, which captures volatility dynamics; an attention mechanism (ATT), which identifies the most relevant features within the sequence; and a Long Short-Term Memory (LSTM) neural network, which receives the outputs of the previous modules to generate price forecasts. This architecture is referred to as GAS-ATT-LSTM. Both unidirectional and bidirectional variants were evaluated using real financial data from the Nasdaq Composite Index, Invesco QQQ Trust, ProShares UltraPro QQQ, Bitcoin, and gold and silver futures. The proposed model’s performance was compared against five benchmark architectures: LSTM Bidirectional, GARCH-LSTM Bidirectional, ATT-LSTM, GAS-LSTM, and GAS-LSTM Bidirectional, under sliding windows of 3, 5, and 7 days. The results show that GAS-ATT-LSTM, particularly in its bidirectional form, consistently outperforms the benchmark models across most assets and forecasting horizons. It stands out for its adaptability to varying volatility levels and temporal structures, achieving significant improvements in both accuracy and stability. These findings confirm the effectiveness of the proposed hybrid model as a robust tool for forecasting complex financial time series. Full article

This study aims to analyze the impact of the U.S. Federal Reserve System’s monetary policy on major cryptocurrencies. Specifically, it explores whether the effects differ between volatile cryptocurrencies, such as Bitcoin and Ethereum, and the stablecoin Tether. To this end, we utilize an autoregressive distributed lag (ARDL) bounds testing approach, analyzing monthly data from January 2019 to April 2025. The empirical results indicate that the responses of volatile and stable cryptocurrencies to the Fed’s monetary policy differ. In the long term, the prices of Bitcoin and Ethereum tend to react positively to the Fed’s monetary policy changes, whereas Tether’s prices experience a negative impact. We recommend novel policy implications in this study based on these empirical findings. Full article

The recent economic turmoil and the increasing volatility of bitcoins have necessitated the need for exploring safe-haven assets for bitcoins. In this quest, the present study aims to investigate the safe haven for bitcoins by examining the dynamic relationship between bitcoins, gold, foreign exchange, and stablecoins. This is achieved by calculating hedge ratios and portfolio weight ratios for various asset classes, by employing adaptive-based techniques such as generalized orthogonal generalized autoregressive conditional heteroscedasticity, corrected dynamic conditional correlation, corrected asymmetric dynamic conditional correlation, and asymmetric dynamic conditional correlation under various market and time-varying conditions. The empirical estimate reveals that all the selected asset classes are effective risk diversifiers for bitcoins. However, among all the asset classes, as per the hedge and portfolio weight ratio, Japanese yen, stablecoin for Japanese yen and Great Britain Pound, and Crypto Holding Frank Token (lowest-cost hedging strategies) are the most effective risk diversifiers when compared with bitcoins. Moreover, while considering external economic shocks, the empirical estimate posits that stablecoins are more stable risk diversifiers compared to the asset class they represent. Furthermore, in terms of the bivariate portfolio analysis formed with bitcoin, this study concludes that the weight of bitcoin is more stable when combined with gold, tether gold, Euro, Great Britain Pound, Swiss franc, and Japanese Yen. Thus, these assets are attractive for long-term investment strategies. This study provides investors and policymakers with significant insight into understanding safe-haven assets for bitcoin’s volatility and constructing a flexible portfolio that is dependent on the investment timeline and the prevailing market conditions. Full article

Blockchain technology is being increasingly deployed to store and process transactions and information in the global financial sector. Blockchain underpins cryptocurrencies such as Bitcoin and facilitates decentralized finance (DeFi), representing a paradigm shift in the global financial landscape, offering alternative solutions to traditional banking, and fostering financial inclusion. In developing economies such as Morocco, where a significant portion of the population remains unbanked, these digital financial innovations present both opportunities and challenges. This study examines the potential role of cryptocurrencies and DeFi in enhancing financial inclusion in Morocco, where cryptocurrencies have been banned since 2017. However, the public continues to use cryptocurrencies, circumventing restrictions, and the Moroccan Central Bank is now preparing to introduce new regulations to legalize their use within the country. In this context, this article analyses the potential of cryptocurrencies to mitigate barriers such as high transaction costs, restricted access to financial services in rural areas, and limited financial literacy in the country. The study pursues a mixed-methods approach, which combines a quantitative survey with qualitative expert interviews and adapts the Unified Theory of Acceptance and Use of Technology (UTAUT) model to the Moroccan context. The findings reveal that while cryptocurrencies offer cost-efficient financial transactions and improved accessibility, their adoption may be constrained by regulatory uncertainty, security risks, and technological limitations. The novelty of the article thus lies in its focus on the key mechanisms that influence the adoption of cryptocurrencies and their potential impact in a specific national context. In so doing, the study highlights the need for a structured regulatory framework, investment in digital infrastructure, and targeted financial literacy initiatives to optimize the potential role of cryptocurrencies in progressing financial inclusion in Morocco. This underscores the need for integrated models and guidelines for policymakers, financial institutions, and technology providers to ensure the responsible introduction of cryptocurrencies in developing world environments. Full article

This paper introduces a novel multi-objective optimization framework for sustainable portfolio rebalancing under uncertainty. The model simultaneously targets return maximization, downside risk control, and liquidity preservation, addressing the complex trade-offs faced by investors in volatile markets. Unlike traditional static approaches, the framework allows for dynamic asset reallocation and explicitly incorporates nonlinear transaction costs, offering a more realistic representation of trading frictions. Key financial parameters—including expected returns, volatility, and liquidity—are modeled using interval arithmetic, enabling a flexible, distribution-free depiction of uncertainty. Risk is measured through semi-absolute deviation, providing a more intuitive and robust assessment of downside exposure compared to classical variance. A core innovation lies in the behavioral modeling of investor preferences, operationalized through three strategic configurations, pessimistic, optimistic, and mixed, implemented via convex combinations of interval bounds. The framework is empirically validated using a diversified cryptocurrency portfolio consisting of Bitcoin, Ethereum, Solana, and Binance Coin, observed over a six-month period. The simulation results confirm the model’s adaptability to shifting market conditions and investor sentiment, consistently generating stable and diversified allocations. Beyond its technical rigor, the proposed framework aligns with sustainability principles by enhancing portfolio resilience, minimizing systemic concentration risks, and supporting long-term decision-making in uncertain financial environments. Its integrated design makes it particularly suitable for modern asset management contexts that require flexibility, robustness, and alignment with responsible investment practices. Full article