Search Results (759)

Decentralized P2P networks have emerged as robust instruments to execute computing tasks, with enhanced security and transparency. Solutions such as Blockchain have proved to be successful in a large catalog of critical applications such as cryptocurrency, intellectual property, etc. However, although executions are transparent and P2P are resistant against common cyberattacks, they tend to be untrustworthy. P2P nodes typically do not offer any evidence about the quality of their resolution of the delegated computing tasks, so trustworthiness of results is threatened. To mitigate this challenge, in usual P2P networks, many different replicas of the same computing task are delegated to different nodes. The final result is the one most nodes reached. But this approach is very resource consuming, especially in terms of energy, as many unnecessary computing tasks are executed. Therefore, new solutions to achieve trustworthy P2P networks, but with an energy efficiency perspective, are needed. This study addresses this challenge. The purpose of the research is to evaluate the effectiveness of an audit-based and score-based approach is assigned to each node instead of performing identical tasks redundantly on different nodes in the network. The proposed solution employs probabilistic methods to detect the malicious nodes taking into account parameters like number of executed tasks and number of audited ones giving a value to the node, and game theory which consider that all nodes play with the same rules. Qualitative and quantitative experimental methods are used to evaluate its impact. The results reveal a significant reduction in network energy consumption, minimum a 50% comparing to networks in which each task is delivered to different nodes considering the task is delivered to a pair of nodes, supporting the effectiveness of the proposed approach. Full article

This study examines the impact that fat-tailed distributions of the spread residuals have on the optimal orders for pairs trading of stocks and cryptocurrencies. Using daily data from selected pairs, the spread dynamics has been modeled through a mean-reverting Ornstein–Uhlenbeck process and investigates how deviations from normality affect strategy design and profitability. Specifically, we compared four fat-tailed distributions—Lévy stable, generalized hyperbolic, Johnson’s S_U, and non-centered Student’s t—and showed how they modify optimal entry and exit thresholds, and performance metrics. The main findings reveal that the proposed pairs trading strategy correctly captures some key stylized facts of residual spreads such as large jumps, skewness, and excess Kurtosis. Interestingly, we considered regime-switching behaviors to account for structural changes in market dynamics, providing empirical evidence that optimal trading rules are regime-dependent and significantly influenced by the residual distribution’s tail behavior. Unlike conventional approaches, we optimized the entry signal and link heavy tails not only to volatility clustering but also to the nonlinearity in switching regimes. These findings suggest the need to account for distributional properties and dynamic regimes when designing robust pairs trading strategies, providing a more realistic and effective framework of these strategies in highly volatile and non-normal markets. Full article

Cryptocurrency such as Bitcoin supports anonymous routing (Tor and I2P) due to the application requirements of anonymity and censorship resistance. In permissionless and open networking for cryptocurrency, an adversary can spoof to pretend to use Tor or I2P for anonymity and privacy protection, while, in reality, it is not using anonymous routing and is forwarding its networking directly to the destination peer to reduce networking overheads. Using profile detection based on deterministic features to detect anonymous routing and false claims is vulnerable to spoofing, especially in permissionless cryptocurrency bypassing registration control. We thus designed and built a method of network fingerprinting, using networking behaviors to detect and classify networking types. We built a network sensor to collect data on an active Bitcoin node connected to the Mainnet and applied supervised machine learning to identify whether a peer node was using IP (direct forwarding without the relays for anonymity protection), Tor, or I2P. Our results show that our scheme is effective in accurately detecting networking types and identifying spoofing attempts through supervised machine learning. We tested our scheme using multiple supervised learning models, specifically CatBoost, Random Forest, and HistGradientBoosting. CatBoost and Random Forest performed best and had comparable accuracy performance in effectively detecting false claims, i.e., they classified the networking types and detected fake claims of Tor usage with 93% accuracy and false claims of I2P with 94% accuracy in permissionless Bitcoin. However, CatBoost-based detection was significantly quicker than Random Forest and HistGradientBoosting in real-time testing and detection. Full article

Portfolio optimization is a fundamental problem in financial theory, aiming to balance risk and return in asset allocation. Traditional models, such as Mean–Variance optimization, are effective, but often fail to account for diversification adequately. This study introduces the Mean–Variance–Entropy (MVE) model, which integrates Tsallis entropy into the classic Mean–Variance framework to enhance portfolio diversification and risk management. Entropy, specifically second-order entropy, penalizes excessive concentration in the portfolio, encouraging a more balanced and diversified allocation of assets. The model is applied to a portfolio of five major cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Solana (SOL), Cardano (ADA), and Binance Coin (BNB). The performance of the MVE model is compared with that of the traditional Mean–Variance model, and results demonstrate that the entropy-enhanced model provides better diversification, although with a slightly lower Sharpe ratio. The findings suggest that while the entropy-adjusted model results in a slightly lower Sharpe ratio, it offers better diversification and a more resilient portfolio, especially in volatile markets. This study demonstrates the potential of incorporating entropy into portfolio optimization as a means to mitigate concentration risk and improve portfolio performance. The approach is particularly beneficial for markets such as cryptocurrency, where volatility and asset correlations fluctuate rapidly. This paper contributes to the growing body of literature on portfolio optimization by offering a more diversified, robust, and risk-adjusted approach to asset allocation Full article

The rise of social media has significantly influenced the cryptocurrency market, driving volatility through sentiment-driven trading. This study employs a bibliometric and content analysis approach to examine how social media, particularly Twitter, impacts cryptocurrency price movements. Using the bibliometric analysis, 151 peer-reviewed articles published between 2018 and 2024 were analyzed to identify key research trends, themes, and potential future research. This study finds that social media sentiment plays a crucial role in cryptocurrency price forecasting, with machine learning and natural language processing (NLP) techniques enhancing prediction accuracy. Thematic analysis reveals four primary areas of focus: sentiment analysis and market prediction, machine learning-driven algorithmic trading, blockchain investment risks, and influencer-driven market behavior. This study contributes to the field by consolidating existing social media sentiment and cryptocurrency valuation knowledge, offering insights to investors, regulators, and academics. It highlights the need for future research to integrate multi-platform sentiment analysis, regulatory considerations, and behavioral finance perspectives. These insights are vital for understanding the evolving landscape of digital asset markets and their susceptibility to sentiment-driven speculation. Full article

The convergence of blockchain technology with artificial intelligence presents a promising paradigm shift in data management and trust within AI ecosystems. Starting from the initial cryptocurrency-oriented versions, the blockchain potential is improved up to the highly scalable and programmable versions available currently. Even though the integration of real-world applications offers a promising future for distributed computing, there are limitations on executing AI models on blockchain due to high external library dependencies, storage, and cost constraints. Addressing this issue, this study explores the transformative potential of integrating blockchain with AI within the paradigm of blockchain 5.0. We propose the next-generation novel blockchain architecture named Doctrina that allows executing AI models directly on blockchain. Compared to the existing approaches, Doctrina allows sharing and using AI services in a fully distributed and privacy-preserved manner. Full article

This study assesses public trust in Bahrain regarding the potential of artificial intelligence (AI) to mitigate the use of cryptocurrencies in financial fraud and terrorist financing. The increasing risks associated with illicit financial activities have been exacerbated by the rapid expansion of e-commerce linked to cryptocurrencies, leading to vulnerabilities in financial technology systems. AI presents a viable solution for detecting, analyzing, and assessing the risks associated with cryptocurrency transactions, strengthening confidence in financial institutions’ regulatory measures. Evaluating public trust is crucial to understanding societal awareness of AI’s role in monitoring and regulating virtual financial transactions to prevent fraud. This research employs a quantitative approach to examine the key factors that enhance confidence in AI-driven auditing and oversight of cryptocurrency transfers. The findings indicate that, while AI offers significant advantages in combating financial crime, certain challenges remain. These include technological complexities, difficulties in accurately identifying users, and weaknesses in electronic financial and legal regulatory frameworks. Such challenges may undermine public trust in AI’s effectiveness in financial oversight. Addressing these concerns is essential to ensuring the successful integration of AI in financial regulation and reinforcing its role in enhancing security and transparency in cryptocurrency transactions. Full article

Portfolio management, a critical application of financial market analysis, involves optimising asset allocation to maximise returns while minimising risk. This paper addresses the notable research gap in analysing historical financial data for portfolio optimisation purposes. Particularly, this research examines different approaches for handling missing values and volatility, while examining their effects on optimal portfolios. For this portfolio optimisation task, this study employs a metaheuristic approach through the Swarm Intelligence algorithm, particularly Particle Swarm Optimisation and its variants. Additionally, it aims to enhance portfolio diversity for risk minimisation by dynamically clustering and selecting appropriate assets using the proposed strategies. This entire investigation focuses on improving risk-adjusted return metrics, like Sharpe, Adjusted Sharpe, and Sortino ratios, for single-asset-class portfolios over two distinct classes of assets, cryptocurrencies and stocks. Considering relatively high market activity during pre, during and post-pandemic conditions, experiments utilise historical data spanning from 2015 to 2023. The results indicate that Sharpe ratios of portfolios across both asset classes are maximised by employing linear interpolation for missing value imputation and exponential moving average smoothing with a lower smoothing factor ($\alpha$). Furthermore, incorporating assets from different clusters significantly improves risk-adjusted returns of portfolios compared to when portfolios are restricted to high market capitalisation assets. Full article

Bitcoin’s role in global finance has rapidly expanded with increasing institutional participation, prompting new questions about its linkage to macroeconomic variables. This study thoughtfully integrates a Bayesian Markov Chain Monte Carlo (MCMC) covariate selection process within homogeneous and non-homogeneous Hidden Markov Models (HMMs) to analyze 16 macroeconomic and Bitcoin-specific factors from 2016 to 2024. The proposed method integrates likelihood penalties to refine variable selection and employs a rolling-window bootstrap procedure for 1-, 5-, and 30-step-ahead forecasting. Results indicate a fundamental shift: while early Bitcoin pricing was primarily driven by technical and supply-side factors (e.g., halving cycles, trading volume), later periods exhibit stronger ties to macroeconomic indicators such as exchange rates and major stock indices. Heightened volatility aligns with significant events—including regulatory changes and institutional announcements—underscoring Bitcoin’s evolving market structure. These findings demonstrate that integrating Bayesian MCMC within a regime-switching model provides robust insights into Bitcoin’s deepening connection with traditional financial forces. Full article

This study examines the dynamic interconnectedness between digital and traditional assets, with an emphasis on fiat currencies (such as JPY/USD and CHF/USD), cryptocurrencies (such as Bitcoin), and digital assets backed by gold (such as Tether Gold and Digix Gold Token) under various economic conditions. The study uses sophisticated techniques, including dynamic connectedness, quantile connectedness, and time-frequency connectedness analyses, to test non-linear and asymmetric interactions between various asset classes. The findings reveal that while cryptocurrencies, especially Bitcoin, frequently serve as net recipients of shocks during times of economic instability, gold and gold-backed assets are the primary shock transmitters. These findings highlight the increasing importance that digital assets play amid economic and geopolitical crises as well as their growing incorporation into the larger financial ecosystem. The study contributes to the literature on asset interconnection and provides implications for systemic risk management and financial stability; specifically, it offers insightful information for hedging and portfolio diversification techniques. Full article

This paper presents a robust multi-period portfolio optimization framework that integrates interval analysis, entropy-based diversification, and downside risk control. In contrast to classical models relying on precise probabilistic assumptions, our approach captures uncertainty through interval-valued parameters for asset returns, risk, and liquidity—particularly suitable for volatile markets such as cryptocurrencies. The model seeks to maximize terminal portfolio wealth over a finite investment horizon while ensuring compliance with return, risk, liquidity, and diversification constraints at each rebalancing stage. Risk is modeled using semi-absolute deviation, which better reflects investor sensitivity to downside outcomes than variance-based measures, and diversification is promoted through Shannon entropy to prevent excessive concentration. A nonlinear multi-objective formulation ensures computational tractability while preserving decision realism. To illustrate the practical applicability of the proposed framework, a simulated case study is conducted on four major cryptocurrencies—Bitcoin (BTC), Ethereum (ETH), Solana (SOL), and Binance Coin (BNB). The model evaluates three strategic profiles based on investor risk attitude: pessimistic (lower return bounds and upper risk bounds), optimistic (upper return bounds and lower risk bounds), and mixed (average values). The resulting final terminal wealth intervals are [1085.32, 1163.77] for the pessimistic strategy, [1123.89, 1245.16] for the mixed strategy, and [1167.42, 1323.55] for the optimistic strategy. These results demonstrate the model’s adaptability to different investor preferences and its empirical relevance in managing uncertainty under real-world volatility conditions. Full article

This study examines how cumulative abnormal returns (CARs, the sum of abnormal returns over a period) and volatility behave around Bitcoin halving events, focusing on whether these patterns have evolved as the cryptocurrency market matures. Halvings are periodic events defined by Bitcoin’s algorithm, during which the reward—in the form of newly issued bitcoins—paid to miners for validating network transactions is reduced, impacting miners’ profitability and potentially influencing the asset’s price due to a decreased supply. To carry out the analysis, we collected data on returns and risk for the 2012, 2016, 2020, and 2024 halving events and compared abnormal returns before and around the event, focusing on the 2020 and 2024 halvings. The results reveal significant shifts in Bitcoin’s price behavior within the event window, with an increased occurrence of abnormal returns in 2020 and 2024, alongside variations in average return, volatility, and maximum drawdown across all events. These findings suggest that Bitcoin’s returns and volatility during halvings are decreasing as the cryptocurrency market becomes more regulated and attracts greater participation from institutional investors and governments. Full article

In this article, we introduce a novel deep learning hybrid model that integrates attention Transformer and gated recurrent unit (GRU) architectures to improve the accuracy of cryptocurrency price predictions. By combining the Transformer’s strength in capturing long-range patterns with GRU’s ability to model short-term and sequential trends, the hybrid model provides a well-rounded approach to time series forecasting. We apply the model to predict the daily closing prices of Bitcoin and Ethereum based on historical data that include past prices, trading volumes, and the Fear and Greed Index. We evaluate the performance of our proposed model by comparing it with four other machine learning models, two are non-sequential feedforward models: radial basis function network (RBFN) and general regression neural network (GRNN), and two are bidirectional sequential memory-based models: bidirectional long short-term memory (BiLSTM) and bidirectional gated recurrent unit (BiGRU). The model’s performance is assessed using several metrics, including mean squared error (MSE), root mean squared error (RMSE), mean absolute error (MAE), and mean absolute percentage error (MAPE), along with statistical validation through the non-parametric Friedman test followed by a post hoc Wilcoxon signed-rank test. Results demonstrate that our hybrid model consistently achieves superior accuracy, highlighting its effectiveness for financial prediction tasks. These findings provide valuable insights for enhancing real-time decision making in cryptocurrency markets and support the growing use of hybrid deep learning models in financial analytics. Full article

This study examines the impact of the coronavirus disease 2019 (COVID-19) pandemic on market efficiency by analyzing three time series—price returns, absolute returns, and volatility increments—in the stock (Deutscher Aktienindex, Nikkei 225, Shanghai Stock Exchange (SSE), and Volatility Index) and cryptocurrency (Bitcoin and Ethereum) markets. The effect is found to vary by asset class and market. In the stock market, while the pandemic did not influence the Hurst exponent of volatility increments, it affected that of returns and absolute returns (except in the SSE, where returns remained unaffected). In the cryptocurrency market, the pandemic did not alter the Hurst exponent for any time series but influenced the strength of multifractality in returns and absolute returns. Some Hurst exponent time series exhibited a gradual decline over time, complicating the assessment of pandemic-related effects. Consequently, segmented analyses by pandemic period may erroneously suggest an impact, warranting caution in period-based studies. Full article

Private consumers, small businesses, and even large enterprises are all at risk from botnets. These botnets are known for spearheading Distributed Denial-Of-Service (DDoS) attacks, spamming large populations of users, and causing critical harm to major organizations. The development of Internet of Things (IoT) devices led to the use of these devices for cryptocurrency mining, in-transit data interception, and sending logs containing private data to the master botnet. Different techniques were developed to identify these botnet activities, but only a few use Graph Neural Networks (GNNs) to analyze host activity by representing their communications with a directed graph. Although GNNs are intended to extract structural graph properties, they risk causing overfitting, which leads to failure when attempting to do so from an unidentified network. In this study, we test the notion that structural graph patterns might be used for efficient botnet detection. In this study, we also present SIR-GN, a structural iterative representation learning methodology for graph nodes. Our approach is built to work well with untested data, and our model is able to provide a vector representation for every node that captures its structural information. Finally, we demonstrate that, when the collection of node representation vectors is incorporated into a neural network classifier, our model outperforms the state-of-the-art GNN-based algorithms in the detection of bot nodes within unknown networks. Full article