Related papers: Time-dependent relations between gaps and returns …
Ordinal pattern dependence is a multivariate dependence measure based on the co-movement of two time series. In strong connection to ordinal time series analysis, the ordinal information is taken into account to derive robust results on the…
Explaining changes in bitcoin's price and predicting its future have been the foci of many research studies. In contrast, far less attention has been paid to the relationship between bitcoin's mining costs and its price. One popular notion…
While relevant stylized facts are observed for Bitcoin markets, we find a distinct property for the scaling behavior of the cumulative return distribution. For various assets, the tail index $\mu$ of the cumulative return distribution…
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation scales for the resulting statistical measurables used to…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
Understanding the causal influences that hold among parts of a system is critical both to explaining that system's natural behaviour and to controlling it through targeted interventions. In a quantum world, understanding causal relations is…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit option prices. The result is satisfactory and suggests that…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
This study, to the best of our knowledge for the first time, delves into the spatiotemporal dynamics of Bitcoin transactions, shedding light on the scaling laws governing its geographic usage. Leveraging a dataset of IP addresses and…
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
Determining the trust of an individual Bitcoin wallet is a difficult problem. There are no ratings, that offer vendors or exchanges meaningful information about the level of the taint of Bitcoins they are receiving. Lack of such information…
We use near-far matching, a technique for estimating causal relationships, to explore whether bail causes a higher likelihood of conviction. We find evidence of a strong causal impact. This paper was compiled as a submission to the 2017…
Causal reversibility blends reversibility and causality for concurrent systems. It indicates that an action can be undone provided that all of its consequences have been undone already, thus making it possible to bring the system back to a…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
Currently, there is no consensus on the real properties of Bitcoin. The discussion comprises its use as a speculative or safe haven assets, while other authors argue that the augmented attractiveness could end accomplishing money's…
In this paper, we explore the partitioning attacks on the Bitcoin network, which is shown to exhibit spatial bias, and temporal and logical diversity. Through data-driven study we highlight: 1) the centralization of Bitcoin nodes across…
This paper studies bandit problems where an agent has access to offline data that might be utilized to potentially improve the estimation of each arm's reward distribution. A major obstacle in this setting is the existence of compound…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
The study of causal structure in complex systems has gained increasing attention, with many recent studies exploring causal networks that capture cause-effect relationships across diverse fields. Despite increasing empirical evidence…