TY - JOUR
T1 - Time-dependent relations between gaps and returns in a Bitcoin order book
AU - Mota-Navarro, Roberto
AU - Monroy-Castillero, Paulino
AU - Leyvraz, Francois
N1 - Publisher Copyright:
© 2022 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2022/1/1
Y1 - 2022/1/1
N2 - 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.
AB - 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.
KW - Causal discovery methods
KW - Large price changes
KW - Order book gaps
UR - http://www.scopus.com/inward/record.url?scp=85129155204&partnerID=8YFLogxK
U2 - 10.1080/14697688.2022.2044506
DO - 10.1080/14697688.2022.2044506
M3 - Article
AN - SCOPUS:85129155204
SN - 1469-7688
VL - 22
SP - 1343
EP - 1354
JO - Quantitative Finance
JF - Quantitative Finance
IS - 7
ER -