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


Por: Mota-Navarro, Roberto, Monroy-Castillero, Paulino, Leyvraz, Francois

Publicada: 3 jul 2022
Resumen:
Several studies have shown that large changes in the returns of an asset are associated with the sized of the gaps present in the order book. In general, these associations have been studied without explicitly considering the dynamics of either gaps or returns. Here we present a study of these relationships. Our results suggest that the causal relationship between gaps and returns is limited to instantaneous causation.

Filiaciones:
Mota-Navarro, Roberto:
 Univ Nacl Autonoma Mexico, Inst Ciencias Fis, Cuernavaca 62210, Morelos, Mexico

 Ctr Int Ciencias AC, Cuernavaca 62131, Morelos, Mexico

Monroy-Castillero, Paulino:
 Ben Gurion Univ Negev, Swiss Inst Dryland Environm & Energy Res, Blaustein Inst Desert Res BIDR, Dept Solar Energy & Environm Phys, Sede Boqer Campus, IL-8499000 Midreshet Ben Gurion, Israel

 Govt Jalisco, Ciudad Creat Digital, Gen Coordinat Govt Innovat, Guadalajara 44100, Jalisco, Mexico

Leyvraz, Francois:
 Univ Nacl Autonoma Mexico, Inst Ciencias Fis, Cuernavaca 62210, Morelos, Mexico
ISSN: 14697696
Editorial
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 4 PARK SQUARE, MILTON PARK, ABINGDON OX14 4RN, OXFORDSHIRE, ENGLAND, Reino Unido
Tipo de documento: Article
Volumen: 22 Número: 7
Páginas: 1343-1354
WOS Id: 000778468400001
imagen Green Submitted