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
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