Return and Volatility Forecasting Using On-Chain Flows in Cryptocurrency Markets
利用链上资金流预测加密货币收益与波动率AI 解读 ↓
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利用链上资金流预测加密货币收益与波动率AI 解读 ↓
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We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023 period. Our intraday frequencies are 1-6 hours. We find that differing significantly from forecasting patterns for BTC, ETH net inflows negatively predict ETH returns and volatility. First, we find that USDT flowing out of investors wallets and into cryptocurrency exchanges, namely, USDT net inflows into the exchanges, positively predicts BTC and ETH returns at multiple intervals and negatively predicts ETH volatility at various intervals and BTC volatility at the 6-hour interval. Second, we find that ETH net inflows negatively predict ETH returns and volatility for all intraday intervals. Third, BTC net inflows generally lack predictive power for BTC returns(except at 4 hours) but are negatively associated with volatility across all intraday intervals. We illustrate our findings on return forecasting via case studies. Moreover, we develop option strategies to assess profits and losses on ETH investments based on ETH net inflows. Our findings contribute to the growing literature on on-chain activity and its asset pricing implications, offering economically relevant insights for intraday portfolio management in cryptocurrency markets.
We tackle the issue of producing point, sign, and density forecasts for the monthly real price of carbon in the European Union Emissions Trading System (EU ETS). We show that Bayesian Vector Autoregressive (BVAR) models augmented with factors based on macroeconomic and financial variables yield improvements in point and density forecasting performance, with the largest point-forecast gains emerging at intermediate and longer horizons. In particular, the one-factor BVAR model…
利用混频数据改进密度预测:贝叶斯方法
We construct a modeling framework that allows for the flexible contribution of intraday information to predict the conditional distribution of asset returns. A flexible spline specification is proposed to capture the contribution of intraday returns inside GARCH and stochastic volatility specifications for daily returns. The “focused Bayesian” prediction framework is adopted to allow the intraday contribution to the simpler GARCH specification to be trained according to the…
金融资产价格预测中已实现波动率的贝叶斯动态建模
We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for realized volatility is integrated with traditional Bayesian dynamic linear models (DLMs) for asset price series. This represents reduced-form volatility leverage and feedback effects through use of realized volatility proxies in conditional DLMs for prices or returns, coupled with the synthesis of…
加密货币收益的日内函数主成分预测
We study the Functional PCA (FPCA) forecasting method in application to functions of intraday returns on Bitcoin. We show that improved interval forecasts of future return functions are obtained when the conditional heteroscedasticity of return functions is taken into account. The Karhunen-Loeve (KL) dynamic factor model is introduced to bridge the functional and discrete time dynamic models. It offers a convenient framework for functional time series analysis. For intraday…
条件谱方法
We model predictive scale-specific cycles. By employing suitable matrix representations, we express the forecast errors of covariance-stationary multivariate time series in terms of conditionally orthonormal scale-specific bases. The representations yield conditionally orthogonal decompositions of these forecast errors. They also provide decompositions of their variances and betas in terms of scale-specific variances and betas capturing predictive variability and…
The component of the volatility of total factor productivity (TFP) that is orthogonal to the dividend price ratio is shown to have long-run predictive ability for excess market returns. This finding implies that TFP volatility should also predict real cash flows and/or real interest rates: it is found to mainly predict real cash flows through inflation. A model with endogenous growth, Epstein-Zin preferences and price rigidities reconciles both TFP volatility-driven long-run…