Related papers: Pairwise and high-order dependencies in the crypto…
Stablecoins, digital assets pegged to a specific currency or commodity value, are heavily involved in transactions of major cryptocurrencies. The effects of deviations from their desired fixed values (depeggings) on the cryptocurrencies for…
Networks are frequently used to model complex systems comprised of interacting elements. While edges capture the topology of direct interactions, the true complexity of many systems originates from higher-order patterns in paths by which…
Transaction data from digital payment systems can be used to study economic processes in such detail that was not possible previously. Here, data from the Sarafu token network, a Community Inclusion Currency in Kenya, is analysed. During…
Bitcoin and Ethereum transactions present one of the largest real-world complex networks that are publicly available for study, including a detailed picture of their time evolution. As such, they have received a considerable amount of…
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…
While market is a social field where information flows over the interacting agents, there have been not so many methods to observe the spreading information in the prices comprising the market. By incorporating the entropy transfer in…
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…
We analyse high-frequency realised volatility dynamics and spillovers in the bitcoin market, focusing on two pairs: bitcoin against the US dollar (the main fiat-crypto pair) and trading bitcoin against tether (the main crypto-crypto pair).…
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the $q$-dependent detrended cross-correlation coefficient \rho(q,s). By extending…
Recently, the notion of cryptocurrencies has come to the fore of public interest. These assets that exist only in electronic form, with no underlying value, offer the owners some protection from tracking or seizure by government or…
We propose a graphical model for representing networks of stochastic processes, the minimal generative model graph. It is based on reduced factorizations of the joint distribution over time. We show that under appropriate conditions, it is…
Market information events are generated intermittently and disseminated at high speeds in real-time. Market participants consume this high-frequency data to build limit order books, representing the current bids and offers for a given…
Cascading chains of events are a salient feature of many real-world social, biological, and financial networks. In social networks, social reciprocity accounts for retaliations in gang interactions, proxy wars in nation-state conflicts, or…
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks…
While the standard network description of complex systems is based on quantifying links between pairs of system units, higher-order interactions (HOIs) involving three or more units play a major role in governing the collective network…
As neuroscientists we want to understand how causal interactions or mechanisms within the brain give rise to perception, cognition, and behavior. It is typical to estimate interaction effects from measured activity using statistical…
We document stable cross-asset patterns in cryptocurrency limit-order-book microstructure: the same engineered order book and trade features exhibit remarkably similar predictive importance and SHAP dependence shapes across assets spanning…
We study the evolution of networks through `triplets' - three-node graphlets. We develop a method to compute a transition matrix to describe the evolution of triplets in temporal networks. To identify the importance of higher-order…
We consider a variant of the online caching problem where the items exhibit dependencies among each other: an item can reside in the cache only if all its dependent items are also in the cache. The dependency relations can form any directed…
To improve transaction rates, many cryptocurrencies have implemented so-called ''Layer-2'' transaction protocols, where payments are routed across networks of private payment channels. However, for a given transaction, not every network…