Statistical Finance (q-fin.ST)

Abstract: In this paper, we propose a multidimensional statistical model of intraday electricity prices at the scale of the trading session, which allows all products to be simulated simultaneously. This model, based on Poisson measures and inspired by the Common Shock Poisson Model, reproduces the Samuelson effect (intensity and volatility increases as time to maturity decreases). It also reproduces the price correlation structure, highlighted here in the data, which decreases as two maturities move apart. This model has only three parameters that can be estimated using a moment method that we propose here. We demonstrate the usefulness of the model on a case of storage valuation by dynamic programming over a trading session.

Abstract: Over the last decade, the cryptocurrency market has experienced unprecedented growth, emerging as a prominent financial market. As this market rapidly evolves, it necessitates re-evaluating which cryptocurrencies command the market and steer the direction of blockchain technology. We implement a network-based cryptocurrency market analysis to investigate this changing landscape. We use novel hourly-resolution data and Kendall's Tau correlation to explore the interconnectedness of the cryptocurrency market. We observed critical differences in the hierarchy of cryptocurrencies determined by our method compared to rankings derived from daily data and Pearson's correlation. This divergence emphasizes the potential information loss stemming from daily data aggregation and highlights the limitations of Pearson's correlation. Our findings show that in the early stages of this growth, Bitcoin held a leading role. However, during the 2021 bull run, the landscape changed drastically. We see that while Ethereum has emerged as the overall leader, it was FTT and its associated exchange, FTX, that greatly led to the increase at the beginning of the bull run. We also find that highly-influential cryptocurrencies are increasingly gaining a commanding influence over the market as time progresses, despite the growing number of cryptocurrencies making up the market.