{"ID":2851955,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2510.20066","arxiv_id":"2510.20066","title":"A Multi-Layer Machine Learning and Econometric Pipeline for Forecasting Market Risk: Evidence from Cryptoasset Liquidity Spillovers","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.","short_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) v...","url_abs":"https://arxiv.org/abs/2510.20066","url_pdf":"https://arxiv.org/pdf/2510.20066v1","authors":"[\"Yimeng Qiu\",\"Feihuang Fang\"]","published":"2025-10-22T22:36:34Z","proceeding":"cs.LG","tasks":"[\"cs.LG\",\"cs.CE\",\"econ.EM\"]","methods":"[]","has_code":false}