Time-dependent relations between gaps and returns in a Bitcoin order book

DOI10.1080/14697688.2022.2044506zbMath1497.91298arXiv2106.02187OpenAlexW3167505061MaRDI QIDQ5092648

Roberto Mota-Navarro, Paulino Monroy Castillero, F. Leyvraz

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.02187

zbMATH Keywords

causal discovery methodslarge price changesorder book gaps

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Surrogate data for hypothesis testing of physical systems
• Limit order books
• Gaussian processes for time-series modelling
• An Introduction to Transfer Entropy
• What really causes large price changes?
• Algorithmic Learning Theory
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