Related papers: Time-dependent relations between gaps and returns …
In Bitcoin system, transactions are prioritized according to transaction fees. Transactions without fees are given low priority and likely to wait for confirmation. Because the demand of micro payment in Bitcoin is expected to increase due…
When analyzing Bitcoin users' balance distribution, we observed that it follows a log-normal pattern. Drawing parallels from the successful application of Gibrat's law of proportional growth in explaining city size and word frequency…
This paper investigates the effects of the launch of Bitcoin futures on the intraday volatility of Bitcoin. Based on one-minute price data collected from four cryptocurrency exchanges, we first examine the change in realized volatility…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the…
We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative)…
Cryptocurrencies have gained tremendous popularity over the past few years. The purpose of this study is to try to understand the factors that are driving cryptocurrency-related trading activities. Focusing on the well-established…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlations of the price returns, the average number of trades in…
Using symmetric boundary conditions at separated times, I show analytically that both the time ordering of (macroscopic) causality and the direction of entropy increase follow from these boundary conditions. In particular, when the…
The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity…
This work considers the question of how convenient access to copious data impacts our ability to learn causal effects and relations. In what ways is learning causality in the era of big data different from -- or the same as -- the…
We derive confidence intervals and confidence sequences for causal effects in situations where the back-door or front-door criteria are applicable. Our tightest confidence intervals hold in the standard setting where the training data…
BitCoin transactions are malleable in a sense that given a transaction an adversary can easily construct an equivalent transaction which has a different hash. This can pose a serious problem in some BitCoin distributed contracts in which…
In standard Walrasian auctions, the price of a good is defined as the point where the supply and demand curves intersect. Since both curves are generically regular, the response to small perturbations is linearly small. However, a crucial…
In a temporal network causal paths are characterized by the fact that links from a source to a target must respect the chronological order. In this article we study the causal paths structure in temporal networks of human face to face…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis largely deviates from the Gaussian…
A causal relation between quantum agents, say Alice and Bob, is necessarily mediated by an interaction. Modelling the last one as a reversible quantum channel, an intervention of Alice can have causal influence on Bob's system, modifying…
A simple model-free and distribution-free statistic, the functional relationship between the number of "effective" degrees of freedom and portfolio size, or N*(N), is used to discriminate between two alternative models for the correlation…
The Bitcoin protocol allows to save arbitrary data on the blockchain through a special instruction of the scripting language, called OP_RETURN. A growing number of protocols exploit this feature to extend the range of applications of the…