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

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Listed:
  • Roberto Mota Navarro
  • Paulino Monroy Castillero
  • Francois Leyvraz

Abstract

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.

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  • Roberto Mota Navarro & Paulino Monroy Castillero & Francois Leyvraz, 2021. "Time-dependent relations between gaps and returns in a Bitcoin order book," Papers 2106.02187, arXiv.org, revised Jun 2021.
    • Handle: RePEc:arx:papers:2106.02187
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    File URL: http://arxiv.org/pdf/2106.02187
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