Related papers: Rough volatility of Bitcoin
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will gravitate toward liquidity value, i.e., the…
Surface roughness is a key factor when it comes to friction and wear, as well as to other physical properties. These phenomena are controlled by mechanisms acting at small scales, in which the topography of apparently-flat surfaces is…
This study measures the long memory of investor-segregated cash flows within the Korean equity market from 2015 to 2024. Applying detrended fluctuation analysis (DFA) to BUY, SELL, and NET aggregates, we estimate the Hurst exponent ($H$)…
Bitcoin as well as other cryptocurrencies are all plagued by the impact from bifurcation. Since the marginal cost of bifurcation is theoretically zero, it causes the coin holders to doubt on the existence of the coin's intrinsic value. This…
We propose an algorithm to estimate the Hurst exponent of high-dimensional fractals, based on a generalized high-dimensional variance around a moving average low-pass filter. As working examples, we consider rough surfaces generated by the…
Spontaneous emergence of periodic oscillations due to self-organization is ubiquitous in turbulent flows. The emergence of such oscillatory instabilities in turbulent fluid mechanical systems is often studied in different system-specific…
The distribution function of local amplitudes of eigenstates of a two-dimensional disordered metal is calculated. Although the distribution of comparatively small amplitudes is governed by laws similar to those known from the random matrix…
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata…
Elastic turbulence can lead to to increased flow resistance, mixing and heat transfer. Its control -- either suppression or promotion -- has significant potential, and there is a concerted ongoing effort by the community to improve our…
The instability of a Fermi-liquid drop with respect to bulk density distortions is considered. It is shown that the presence of the surface strongly reduces the growth rate of the bulk instability of the finite Fermi-liquid drop because of…
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion,…
We propose a microstructural model for the order flow in financial markets that distinguishes between {\it core orders} and {\it reaction flow}, both modeled as Hawkes processes. This model has a natural scaling limit that reconciles a…
In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We infer the low-dimensional representations…
In this paper, we explore some stylized facts of the Bitcoin market using the BTC-USD exchange rate time series of historical intraday data from 2013 to 2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of…
This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence of other US equity…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
We show that assuming that the returns are independent when conditioned on the value of their variance (volatility), which itself varies in time randomly, then the distribution of returns is well described by the statistics of the sum of…
In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study of volatility in [1], which addressed…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
We develop and investigate a test for jumps based on high-frequency observations of a fractional process with an additive jump component. The Hurst exponent of the fractional process is unknown. The asymptotic theory under infill…