arXiv · arXiv q-fin · 2025
A currency with stable purchasing power can always provide a psychological haven for people around the world. However, since the collapse of the Bretton Woods system, issuing more cheap currencies has become a common trend in the international community, and the legalization and over issuance of stablecoins will strengthen this trend. In this context, our study focused on a parallel monetary system based on a redeema…
Boliang Lin, Ruixi Lin
arXiv · arXiv q-fin · 2020
Bitcoin being a safe haven asset is one of the traditional stories in the cryptocurrency community. However, during its existence and relevant presence, i.e. approximately since 2013, there has been no severe situation on the financial markets globally to prove or disprove this story until the COVID-19 pandemics. We study the quantile correlations of Bitcoin and two benchmarks -- S\&P500 and VIX -- and we make compar…
Ladislav Kristoufek
arXiv · arXiv q-fin · 2019
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In revisiting the role of gold, our study proposes new insights into the literature. First, our empirical design relaxes the assumption of homogeneous investors in favour of agents with different horizons. Second, we develop a …
Mohamed Arbi Madani, Zied Ftiti
arXiv · arXiv q-fin · 2026
Cryptoassets are increasingly entangled with the traditional financial system, and how this activity integrates into national economies and behaves under stress bears on financial stability and the design of public digital money. However, blockchain pseudonymity and the lack of geographic identifiers force existing work to rely on indirect proxies to infer and locate market participants. Here we use a regulatory regi…
Pietro Saggese, Michael Sigmund, Burkhard Raunig, Esther Segalla, Bernhard Haslhofer
arXiv · arXiv q-fin · 2023
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional financial markets: stock indices, Forex, commodities, on the other side, are measured in the period: January 2020--October 2022. Our purpose is to address the question whether the cryp…
Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
arXiv · arXiv q-fin · 2021
This discussion applies quantitative finance methods and economic arguments to cryptocurrencies in general and bitcoin in particular -- as there are about $10,000$ cryptocurrencies, we focus (unless otherwise specified) on the most discussed crypto of those that claim to hew to the original protocol (Nakamoto 2009) and the one with, by far, the largest market capitalization. In its current version, in spite of the hy…
Nassim Nicholas Taleb
arXiv · arXiv q-fin · 2018
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under different gold market conditions, while considering the nuances of uncertainty levels. To capture the core uncertainty effects on gold returns, a dynamic factor model is used. This techni…
Jamal Bouoiyour, Refk Selmi, Mark Wohar
arXiv · arXiv q-fin · 2017
Although Bitcoin has long been dominant in the crypto scene, it is certainly not alone. Ether is another cryptocurrency related project that has attracted an intensive attention because of its additional features. This study seeks to test whether these cryptocurrencies differ in terms of their volatile and speculative behaviors, hedge, safe haven and risk diversification properties. Using different econometric techni…
Jamal Bouoiyour, Refk Selmi
arXiv · arXiv q-fin · 2017
During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another asset is in distress, while hedge has to be negatively correlated (uncorrelated) on average. The Bitcoin's surge alongside the aftermath of Trump's win in the 2016 U.S. presidential e…
Jamal Bouoiyour, Refk Selmi
arXiv · arXiv q-fin · 2022
As the first crisis faced by Crypto-assets, Covid-19 updated the debate about their safehaven properties. Our paper tries to analyze the safe-haven properties of Crypto-assets and Gold for European assets. We find that Gold has not been more efficient than Cryptoassets (Tether, Cardano and Dogecoin) as safe-haven during the market crash due to Covid-19 in March 2020. We also found that during the study period Bitcoin…
Alhonita Yatie
arXiv · arXiv q-fin · 2025
The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)'s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail dependence within an original time-varying copula framework. Our analysis makes several noteworthy results. Evidence for Indian, Russian and South African currencies indicates an ellipt…
Nourhaine Nefzi, Abir Abid
arXiv · arXiv q-fin · 2025
Financial markets are dynamic, interconnected systems where local shocks can trigger widespread instability, challenging portfolio managers and policymakers. Traditional correlation analysis often miss the directionality and temporal dynamics of information flow. To address this, we present a unified framework integrating Transfer Entropy (TE) and the N-dimensional Kramers-Moyal (KM) expansion to map static and time-…
Pouriya Khalilian, Amirhossein N. Golestani, Mohammad Eslamifar, Mostafa T. Firouzjaee, Javad T. Firouzjaee
arXiv · arXiv q-fin · 2020
With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market. Based on the widely used multifractal detrended fluctuation analysis method (MF-DFA), we compare these two methods and find that the Bi-OSW-MF-DFA method possesses better efficiency. T…
Zhongjun Wang, Mengye Sun, A. M. Elsawah
arXiv · arXiv · 2026
Retractions serve as an indicator of failures in research integrity, yet most analyses focus on absolute counts rather than risk per paper. We use one of the largest open bibliographic databases to develop incidence metrics normalized by population: retractions per publication and per active author annually. Applying an epidemiological framework that models counts with exposure, we find evidence of exponential growth…
Sara Venturini, Alessandra Urbinati, Paola Gallo, Jessica T. Davis, Alessandro Vespignani