Related papers: Time-dependent relations between gaps and returns …
Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
Motivated by queueing applications, we study various reflected autoregressive processes with dependencies. Amongst others, we study cases where the interarrival and service times are proportionally dependent with additive and/or subtracting…
We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Causality serves as an abstract notion of time for concurrent systems. A computation is causal, or simply valid, if each observation of a computation event is preceded by the observation of its causes. The present work establishes that this…
It is generally accepted that H. Friedman's gap condition is closely related to iterated collapsing functions from ordinal analysis. But what precisely is the connection? We offer the following answer: In a previous paper we have shown that…
The evolution of the pandemic and people's concern over it have an impact on the Bitcoin market, while the extent of individualism could differentiate investor behaviors in the financial market during the pandemic. This paper examines…
Research on Bitcoin (BTC) transactions is a matter of interest for both economic and network science fields. Although this cryptocurrency is based on a decentralized system, making transaction details freely accessible, making raw…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
The analysis of temporal networks heavily depends on the analysis of time-respecting paths. However, before being able to model and analyze the time-respecting paths, we have to infer the timescales at which the temporal edges influence…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…
We study the computation contests where players compete for searching a solution to a given problem with a winner-take-all reward. The search processes are independent across the players and the search speeds of players are proportional to…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
Bitcoin-otc is a peer to peer (over-the-counter) marketplace for trading with bit- coin crypto-currency. To mitigate the risks of the p2p unsupervised exchanges, the establishment of a reliable reputation systems is needed: for this reason,…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
In distributed systems where strong consistency is costly when not impossible, causal consistency provides a valuable abstraction to represent program executions as partial orders. In addition to the sequential program order of each…
We show that infinite divisibility of a trading commodity leads to a self-sustained price bubble when traders use adaptive investment strategies. The adaptive strategy can be viewed as a psychological response of a trader to the situation…