{"id":"https://openalex.org/W2980408904","doi":"https://doi.org/10.3390/fi12030059","title":"Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach","display_name":"Do Cryptocurrency Prices Camouflage Latent Economic Effects? A Bayesian Hidden Markov Approach","publication_year":2020,"publication_date":"2020-03-21","ids":{"openalex":"https://openalex.org/W2980408904","doi":"https://doi.org/10.3390/fi12030059","mag":"2980408904"},"language":"en","primary_location":{"id":"doi:10.3390/fi12030059","is_oa":true,"landing_page_url":"https://doi.org/10.3390/fi12030059","pdf_url":"https://www.mdpi.com/1999-5903/12/3/59/pdf?version=1584783620","source":{"id":"https://openalex.org/S34838331","display_name":"Future Internet","issn_l":"1999-5903","issn":["1999-5903"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Future Internet","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.mdpi.com/1999-5903/12/3/59/pdf?version=1584783620","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045418483","display_name":"Constandina Koki","orcid":"https://orcid.org/0000-0002-3236-8876"},"institutions":[{"id":"https://openalex.org/I73142707","display_name":"Athens University of Economics and Business","ror":"https://ror.org/03s262162","country_code":"GR","type":"education","lineage":["https://openalex.org/I73142707"]}],"countries":["GR"],"is_corresponding":true,"raw_author_name":"Constandina Koki","raw_affiliation_strings":["Department of Statistics, School of Information Sciences and Technology, Athens University of Economics and Business, 10434 Athens, Greece"],"affiliations":[{"raw_affiliation_string":"Department of Statistics, School of Information Sciences and Technology, Athens University of Economics and Business, 10434 Athens, Greece","institution_ids":["https://openalex.org/I73142707"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5048295129","display_name":"Stefanos Leonardos","orcid":"https://orcid.org/0000-0002-1498-1490"},"institutions":[{"id":"https://openalex.org/I152815399","display_name":"Singapore University of Technology and Design","ror":"https://ror.org/05j6fvn87","country_code":"SG","type":"education","lineage":["https://openalex.org/I152815399"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Stefanos Leonardos","raw_affiliation_strings":["Engineering Systems and Design, Singapore University of Technology and Design, Singapore 487372, Singapore"],"affiliations":[{"raw_affiliation_string":"Engineering Systems and Design, Singapore University of Technology and Design, Singapore 487372, Singapore","institution_ids":["https://openalex.org/I152815399"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079969658","display_name":"Georgios Piliouras","orcid":"https://orcid.org/0000-0002-6236-3566"},"institutions":[{"id":"https://openalex.org/I152815399","display_name":"Singapore University of Technology and Design","ror":"https://ror.org/05j6fvn87","country_code":"SG","type":"education","lineage":["https://openalex.org/I152815399"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Georgios Piliouras","raw_affiliation_strings":["Engineering Systems and Design, Singapore University of Technology and Design, Singapore 487372, Singapore"],"affiliations":[{"raw_affiliation_string":"Engineering Systems and Design, Singapore University of Technology and Design, Singapore 487372, Singapore","institution_ids":["https://openalex.org/I152815399"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5045418483"],"corresponding_institution_ids":["https://openalex.org/I73142707"],"apc_list":{"value":1400,"currency":"CHF","value_usd":1515},"apc_paid":{"value":1400,"currency":"CHF","value_usd":1515},"fwci":2.7817,"has_fulltext":true,"cited_by_count":14,"citation_normalized_percentile":{"value":0.92082775,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"12","issue":"3","first_page":"59","last_page":"59"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9908999800682068,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9534000158309937,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/cryptocurrency","display_name":"Cryptocurrency","score":0.6835727691650391},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6652812361717224},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6304736137390137},{"id":"https://openalex.org/keywords/series","display_name":"Series (stratigraphy)","score":0.5923895835876465},{"id":"https://openalex.org/keywords/hidden-markov-model","display_name":"Hidden Markov model","score":0.5463027954101562},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.5445230007171631},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.5360226035118103},{"id":"https://openalex.org/keywords/econometric-model","display_name":"Econometric model","score":0.4534643888473511},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.27019333839416504},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24059021472930908}],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.6835727691650391},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6652812361717224},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6304736137390137},{"id":"https://openalex.org/C143724316","wikidata":"https://www.wikidata.org/wiki/Q312468","display_name":"Series (stratigraphy)","level":2,"score":0.5923895835876465},{"id":"https://openalex.org/C23224414","wikidata":"https://www.wikidata.org/wiki/Q176769","display_name":"Hidden Markov model","level":2,"score":0.5463027954101562},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.5445230007171631},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.5360226035118103},{"id":"https://openalex.org/C180075932","wikidata":"https://www.wikidata.org/wiki/Q5333342","display_name":"Econometric model","level":2,"score":0.4534643888473511},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.27019333839416504},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24059021472930908},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.3390/fi12030059","is_oa":true,"landing_page_url":"https://doi.org/10.3390/fi12030059","pdf_url":"https://www.mdpi.com/1999-5903/12/3/59/pdf?version=1584783620","source":{"id":"https://openalex.org/S34838331","display_name":"Future Internet","issn_l":"1999-5903","issn":["1999-5903"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Future Internet","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:gam:jftint:v:12:y:2020:i:3:p:59-:d:335320","is_oa":false,"landing_page_url":"https://www.mdpi.com/1999-5903/12/3/59/","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:1f22379ca3f24044875b5e7440c78a8d","is_oa":true,"landing_page_url":"https://doaj.org/article/1f22379ca3f24044875b5e7440c78a8d","pdf_url":null,"source":{"id":"https://openalex.org/S112646816","display_name":"SHILAP Revista de lepidopterolog\u00eda","issn_l":"0300-5267","issn":["0300-5267","2340-4078"],"is_oa":true,"is_in_doaj":true,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Future Internet, Vol 12, Iss 3, p 59 (2020)","raw_type":"article"},{"id":"pmh:oai:mdpi.com:/1999-5903/12/3/59/","is_oa":true,"landing_page_url":"https://dx.doi.org/10.3390/fi12030059","pdf_url":null,"source":{"id":"https://openalex.org/S4306400947","display_name":"MDPI (MDPI AG)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4210097602","host_organization_name":"Multidisciplinary Digital Publishing Institute (Switzerland)","host_organization_lineage":["https://openalex.org/I4210097602"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Future Internet; Volume 12; Issue 3; Pages: 59","raw_type":"Text"},{"id":"pmh:oai:wrap.warwick.ac.uk:155746","is_oa":false,"landing_page_url":"https://wrap.warwick.ac.uk/155746/","pdf_url":null,"source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.3390/fi12030059","is_oa":true,"landing_page_url":"https://doi.org/10.3390/fi12030059","pdf_url":"https://www.mdpi.com/1999-5903/12/3/59/pdf?version=1584783620","source":{"id":"https://openalex.org/S34838331","display_name":"Future Internet","issn_l":"1999-5903","issn":["1999-5903"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310310987","host_organization_name":"Multidisciplinary Digital Publishing Institute","host_organization_lineage":["https://openalex.org/P4310310987"],"host_organization_lineage_names":["Multidisciplinary Digital Publishing Institute"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Future Internet","raw_type":"journal-article"},"sustainable_development_goals":[{"score":0.5099999904632568,"display_name":"No poverty","id":"https://metadata.un.org/sdg/1"}],"awards":[{"id":"https://openalex.org/G693901388","display_name":null,"funder_award_id":"NRF2016NCR-NCR002-028","funder_id":"https://openalex.org/F4320320671","funder_display_name":"National Research Foundation"},{"id":"https://openalex.org/G7341626825","display_name":null,"funder_award_id":"SRG ESD 2015 097","funder_id":"https://openalex.org/F4320324110","funder_display_name":"Singapore University of Technology and Design"}],"funders":[{"id":"https://openalex.org/F4320320671","display_name":"National Research Foundation","ror":"https://ror.org/05s0g1g46"},{"id":"https://openalex.org/F4320324110","display_name":"Singapore University of Technology and Design","ror":"https://ror.org/05j6fvn87"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2980408904.pdf","grobid_xml":"https://content.openalex.org/works/W2980408904.grobid-xml"},"referenced_works_count":58,"referenced_works":["https://openalex.org/W22598216","https://openalex.org/W851575271","https://openalex.org/W1513904014","https://openalex.org/W1539673959","https://openalex.org/W1798106456","https://openalex.org/W1971094148","https://openalex.org/W1994208839","https://openalex.org/W2002061915","https://openalex.org/W2005204582","https://openalex.org/W2030014826","https://openalex.org/W2042442456","https://openalex.org/W2078082181","https://openalex.org/W2099878672","https://openalex.org/W2126584287","https://openalex.org/W2145501956","https://openalex.org/W2205255254","https://openalex.org/W2343073206","https://openalex.org/W2526568049","https://openalex.org/W2571894309","https://openalex.org/W2586112617","https://openalex.org/W2601386739","https://openalex.org/W2694190980","https://openalex.org/W2740288336","https://openalex.org/W2765909833","https://openalex.org/W2773450684","https://openalex.org/W2775379762","https://openalex.org/W2783933003","https://openalex.org/W2785317601","https://openalex.org/W2790822776","https://openalex.org/W2799918576","https://openalex.org/W2809968901","https://openalex.org/W2816105620","https://openalex.org/W2883122319","https://openalex.org/W2883143933","https://openalex.org/W2886076119","https://openalex.org/W2887883206","https://openalex.org/W2889272881","https://openalex.org/W2897385673","https://openalex.org/W2900780127","https://openalex.org/W2910062285","https://openalex.org/W2922401517","https://openalex.org/W2943879361","https://openalex.org/W2952509018","https://openalex.org/W2962690444","https://openalex.org/W2962988653","https://openalex.org/W2963751193","https://openalex.org/W2965471439","https://openalex.org/W2972379780","https://openalex.org/W2995690589","https://openalex.org/W3011605097","https://openalex.org/W3121902344","https://openalex.org/W3122002729","https://openalex.org/W3123525215","https://openalex.org/W3123801023","https://openalex.org/W3123910853","https://openalex.org/W3125517020","https://openalex.org/W4293108444","https://openalex.org/W6732316339"],"related_works":["https://openalex.org/W4366411693","https://openalex.org/W3211641817","https://openalex.org/W3164717803","https://openalex.org/W4389915954","https://openalex.org/W3123387860","https://openalex.org/W4291291739","https://openalex.org/W2915579847","https://openalex.org/W3110645133","https://openalex.org/W4321377877","https://openalex.org/W2386977110"],"abstract_inverted_index":{"We":[0],"study":[1,24],"the":[2,25,39,47,59,63,77,80,85,93,127,152,163,174,181,190,200,204,211,226,229,236,246,253,261,268,284],"Bitcoin":[3,30,122],"and":[4,27,31,95,101,123,188,228,231,282,308],"Ether":[5,32,124],"price":[6,33,81,286],"series":[7,34,165,238,287],"under":[8],"a":[9,20,53,109,159,167,243,290],"financial":[10,146,280],"perspective.":[11],"Specifically,":[12],"we":[13,45,68,120,218,250],"use":[14],"two":[15,201],"econometric":[16,96],"models":[17,89],"to":[18,23,91,107,115,298],"perform":[19],"two-layer":[21],"analysis":[22],"correlation":[26],"prediction":[28],"of":[29,42,49,62,76,79,151,169,192,203,215,245,256,264,267],"with":[35,84,260],"traditional":[36,71],"assets.":[37],"In":[38,118,208],"first":[40],"part":[41],"this":[43,104],"study,":[44,217],"model":[46,65,114,121],"probability":[48],"positive":[50],"returns":[51],"via":[52,126,158],"Bayesian":[54],"logistic":[55,64,160],"model.":[56],"Even":[57],"though":[58],"fitting":[60],"performance":[61,187,266],"is":[66,288],"poor,":[67],"find":[69],"that":[70,87,139,180,220,252,274],"assets":[72,281],"can":[73,295],"explain":[74],"some":[75],"variability":[78,100],"returns.":[82],"Along":[83],"fact":[86],"standard":[88],"fail":[90],"capture":[92],"statistic":[94],"attributes\u2014such":[97],"as":[98],"extreme":[99],"heteroskedasticity\u2014of":[102],"cryptocurrencies,":[103],"motivates":[105],"us":[106],"apply":[108],"novel":[110],"Non-Homogeneous":[111],"Hidden":[112,130],"Markov":[113,131,206],"these":[116],"series.":[117,194,233],"particular,":[119],"prices":[125],"non-homogeneous":[128],"P\u00f3lya-Gamma":[129],"(NHPG)":[132],"model,":[133],"since":[134],"it":[135,140],"has":[136,184],"been":[137],"shown":[138],"outperforms":[141],"its":[142],"counterparts":[143],"in":[144],"conventional":[145],"data.":[147],"The":[148],"transition":[149],"probabilities":[150],"underlying":[153,205],"hidden":[154,175],"process":[155],"are":[156,239,276],"modeled":[157],"link":[161],"whereas":[162],"observed":[164],"follow":[166],"mixture":[168],"normal":[170],"regressions":[171],"conditionally":[172],"on":[173],"process.":[176,207],"Our":[177],"results":[178],"show":[179,219],"NHPG":[182],"algorithm":[183,269],"good":[185],"in-sample":[186],"captures":[189],"heteroskedasticity":[191],"both":[193],"It":[195],"identifies":[196],"frequent":[197],"changes":[198],"between":[199,225],"states":[202],"what":[209],"constitutes":[210],"most":[212],"important":[213],"implication":[214],"our":[216],"there":[221],"exist":[222],"linear":[223],"correlations":[224],"covariates":[227],"ETH":[230,237],"BTC":[232],"However,":[234],"only":[235],"affected":[240],"non-linearly":[241],"by":[242],"subset":[244],"accounted":[247],"covariates.":[248],"Finally,":[249],"conclude":[251],"large":[254],"number":[255],"significant":[257],"predictors":[258],"along":[259],"weak":[262],"degree":[263],"predictability":[265],"back":[270],"up":[271],"earlier":[272],"findings":[273,294],"cryptocurrencies":[275],"unlike":[277],"any":[278],"other":[279],"predicting":[283],"cryptocurrency":[285],"still":[289],"challenging":[291],"task.":[292],"These":[293],"be":[296],"useful":[297],"investors,":[299],"policy":[300],"makers,":[301],"traders":[302],"for":[303],"portfolio":[304],"allocation,":[305],"risk":[306],"management":[307],"trading":[309],"strategies.":[310]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2019-10-25T00:00:00"}