Related papers: Time-dependent relations between gaps and returns …
We study recurrent patterns in volatility and volume for major cryptocurrencies, Bitcoin and Ether, using data from two centralized exchanges (Coinbase Pro and Binance) and a decentralized exchange (Uniswap V2). We find systematic patterns…
Bitcoin has become the leading cryptocurrency system, but the limit on its transaction processing capacity has resulted in increased transaction fees and delayed transaction confirmation. As such, it is pertinent to understand and probably…
A discussion about dependences of the (fractal) basin boundary dimension with the definition of the basins and the size of the exits is presented for systems with one or more exits. In particular, it is shown that the dimension is largely…
Financial networks can be constructed using statistical dependencies found within the price series of speculative assets. Across the various methods used to infer these networks, there is a general reliance on predictive modelling to…
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently…
We present a simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii) the fat tail structure of the distribution of returns and…
How do supply and demand from informed traders drive market prices of bitcoin options? Deribit options tick-level data supports the limits-to-arbitrage hypothesis about the market maker's supply. The main demand-side effects are that…
We address the problem of link reciprocity, the non-random presence of two mutual links between pairs of vertices. We propose a new measure of reciprocity that allows the ordering of networks according to their actual degree of correlation…
We applied the SVAR-LiNGAM to illustrate the causal relationships between the spot exchange rate, and three crypto-asset exchange rates, Bitcoin, Ethereum, and Ripple. It was notable that the causal order, the EUR_USD spot…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…
This study introduces the concept of the forking effect in the cryptocurrency market,specifically focusing on the impact of forking events on bitcoin, also called parent coin.We use a modified exponential GARCH model to examine the…
Blockchain is a technology that provides a distributed ledger that stores previous records while maintaining consistency and security. Bitcoin is the first and largest decentralized electronic cryptographic system that uses blockchain…
The development of open-source software (OSS) projects usually have been driven through collaborations among contributors and strongly relies on volunteering. Thus, allocating software practitioners (e.g., contributors) to a particular task…
The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices,…
We study the statistical fluctuations (such as the variance) of causal set quantities, with particular focus on the causal set action. To facilitate calculating such fluctuations, we develop tools to account for correlations between causal…
Recent research on temporal networks has highlighted the limitations of a static network perspective for our understanding of complex systems with dynamic topologies. In particular, recent works have shown that i) the specific order in…
The application of Algorithmic Recourse in decision-making is a promising field that offers practical solutions to reverse unfavorable decisions. However, the inability of these methods to consider potential dependencies among variables…
In a causal world the direction of the time arrow dictates how past causal events in a variable $X$ produce future effects in $Y$. $X$ is said to cause an effect in $Y$, if the predictability (uncertainty) about the future states of $Y$…
Growing networks have a causal structure. We show that the causality strongly influences the scaling and geometrical properties of the network. In particular the average distance between nodes is smaller for causal networks than for…
By studying the set of correlations that are theoretically possible between physical systems without allowing for signalling of information backwards in time, we here identify correlations that can only be achieved if the time ordering…