Chu | Searcharxiv

arXiv2024

Return and Volatility Forecasting Using On-Chain Flows in Cryptocurrency Markets

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.

econ.EM↗

arXiv2020

Mapping Datasets to Object Storage System

Access libraries such as ROOT and HDF5 allow users to interact with datasets using high level abstractions, like coordinate systems and associated slicing operations. Unfortunately, the implementations of access libraries are based on outdated assumptions about storage systems interfaces and are generally unable to fully benefit from modern fast storage devices. The situation is getting worse with rapidly evolving storage devices such as non-volatile memory and ever larger datasets. This project explores distributed dataset mapping infrastructures that can integrate and scale out existing access libraries using Ceph's extensible object model, avoiding re-implementation or even modifications of these access libraries as much as possible. These programmable storage extensions coupled with our distributed dataset mapping techniques enable: 1) access library operations to be offloaded to storage system servers, 2) the independent evolution of access libraries and storage systems and 3) fully leveraging of the existing load balancing, elasticity, and failure management of distributed storage systems like Ceph. They also create more opportunities to conduct storage server-local optimizations specific to storage servers. For example, storage servers might include local key/value stores combined with chunk stores that require different optimizations than a local file system. As storage servers evolve to support new storage devices like non-volatile memory, these server-local optimizations can be implemented while minimizing disruptions to applications. We will report progress on the means by which distributed dataset mapping can be abstracted over particular access libraries, including access libraries for ROOT data, and how we address some of the challenges revolving around data partitioning and composability of access operations.

cs.DC↗