ALBERT

Description: The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in high-frequency markets for the three largest cryptocurrencies of Bitcoin, Ethereum, and Litecoin. We also examine the market efficiency and liquidity of the selected cryptocurrencies during these periods using high-frequency data. Our findings show that the hourly returns of the three cryptocurrencies during a bull market indicate market efficiency when using the detrended-fluctuation-analysis (DFA) method to analyse the Hurst exponent with a rolling window. However, when conditions turn and there is a bear-market period, we see signs of a more inefficient market. Furthermore, our results indicated differences between the cryptocurrencies in terms of their liquidity during the two market states. Moving from a bull to a bear market, Ethereum and Litecoin appear to become more illiquid, as opposed to Bitcoin, which appears to become more liquid. The motivation to study the high-frequency cryptocurrency market came from the increasing availability of higher-frequency cryptocurrency-pricing data. However, it also comes from a movement towards higher-frequency trading of cryptocurrency. In addition, the efficiency of cryptocurrency markets relates not only to whether prices are predictable and arbitrage opportunities exist, but, more widely, to topics such as testing the profitability of trading strategies and determining the maturity of cryptocurrency markets.

Description: In the past decade, big data has become increasingly prevalent in a large number of applications. As a result, datasets suffering from noise and redundancy issues have necessitated the use of feature selection across multiple domains. However, a common concern in feature selection is that different approaches can give very different results when applied to similar datasets. Aggregating the results of different selection methods helps to resolve this concern and control the diversity of selected feature subsets. In this work, we implemented a general framework for the ensemble of multiple feature selection methods. Based on diversified datasets generated from the original set of observations, we aggregated the importance scores generated by multiple feature selection techniques using two methods: the Within Aggregation Method (WAM), which refers to aggregating importance scores within a single feature selection; and the Between Aggregation Method (BAM), which refers to aggregating importance scores between multiple feature selection methods. We applied the proposed framework on 13 real datasets with diverse performances and characteristics. The experimental evaluation showed that WAM provides an effective tool for determining the best feature selection method for a given dataset. WAM has also shown greater stability than BAM in terms of identifying important features. The computational demands of the two methods appeared to be comparable. The results of this work suggest that by applying both WAM and BAM, practitioners can gain a deeper understanding of the feature selection process.