A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers

📝 Original Info

• Title: A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers
• ArXiv ID: 2510.20066
• Date: 2025-10-22
• Authors: ** 논문에 저자 정보가 명시되지 않았습니다. **

📝 Abstract

We study whether liquidity and volatility proxies of a core set of cryptoassets generate spillovers that forecast market-wide risk. Our empirical framework integrates three statistical layers: (A) interactions between core liquidity and returns, (B) principal-component relations linking liquidity and returns, and (C) volatility-factor projections that capture cross-sectional volatility crowding. The analysis is complemented by vector autoregression impulse responses and forecast error variance decompositions (see Granger 1969; Sims 1980), heterogeneous autoregressive models with exogenous regressors (HAR-X, Corsi 2009), and a leakage-safe machine learning protocol using temporal splits, early stopping, validation-only thresholding, and SHAP-based interpretation. Using daily data from 2021 to 2025 (1462 observations across 74 assets), we document statistically significant Granger-causal relationships across layers and moderate out-of-sample predictive accuracy. We report the most informative figures, including the pipeline overview, Layer A heatmap, Layer C robustness analysis, vector autoregression variance decompositions, and the test-set precision-recall curve. Full data and figure outputs are provided in the artifact repository.

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