Related papers: Time-dependent relations between gaps and returns …
Bitcoin, widely recognized as the first cryptocurrency, has shown increasing integration with traditional financial markets, particularly major U.S. equity indices, amid accelerating institutional adoption. This study examines how Bitcoin…
This paper introduces a new framework for recovering causal graphs from observational data, leveraging the observation that the distribution of an effect, conditioned on its causes, remains invariant to changes in the prior distribution of…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
This paper studies an instance of the multi-armed bandit (MAB) problem, specifically where several causal MABs operate chronologically in the same dynamical system. Practically the reward distribution of each bandit is governed by the same…
Cryptocurrencies as a new way of transferring assets and securing financial transactions have gained popularity in recent years. Transactions in cryptocurrencies are publicly available, hence, statistical studies on different aspects of…
What happens to mining when the Bitcoin price changes, when there are mining supply shocks, the price of energy changes, or hardware technology evolves? We give precise answers based on the technical forces and incentives in the system. We…
In general relativity, the causal structure between events is dynamical, but it is definite and observer-independent; events are point-like and the membership of an event A in the future or past light-cone of an event B is an…
Orphan transactions are those whose parental income-sources are missing at the time that they are processed. These transactions are not propagated to other nodes until all of their missing parents are received, and they thus end up…
A general property of the relation between the dynamics of the reduced purity and correlations is investigated in quantum mechanical systems. We show that a non-zero time-derivative of the reduced purity of a system implies the existence of…
This paper is a discussion about the relationship between time and information. We argue that the direction of arrow of time is related to the directivity of information copying that occurs in Nature.
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…
Events in distributed systems include sending or receiving messages, or changing some state in a node. Not all events are related, but some events can cause and influence how other, later events, occur. For instance, a reply to a received…
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the…
It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…
Cryptocurrencies are distributed systems that allow exchanges of native (and non-) tokens among participants. The complete historical bookkeeping and its wide availability opens up an unprecedented possibility, i.e. that of understanding…
The citations process for scientific papers has been studied extensively. But while the citations accrued by authors are the sum of the citations of their papers, translating the dynamics of citation accumulation from the paper to the…
This study empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual…
We present empirical evidence on the relationship between demand shocks and price changes, conditional on returns to scale. We find that in industries with decreasing returns to scale, demand increases (which raise costs) correspond to…