scholarly journals On the Intraday Behavior of Bitcoin

Ledger ◽  
2021 ◽  
Vol 6 ◽  
Author(s):  
Giacomo De Nicola
Keyword(s):  
Time Series ◽  
Exchange Rates ◽  
Trading Strategy ◽  
Algorithmic Trading ◽  
Financial Assets ◽  
Medium Frequency ◽  
First Order ◽  
Market Participants ◽  
Excess Volatility ◽  
Shed Light

We analyze the intraday time series of Bitcoin, comparing its features with those of traditional financial assets such as stocks and exchange rates. The results shed light on similarities as well as significant deviations from the standard patterns. In particular, our most interesting finding is the unusual presence of significant negative first-order autocorrelation of returns calculated on medium-frequency timeframes, such as one, two and four hours, signaling the presence of systematic mean reversion. It is also found that larger price movements lead to stronger reversals, in percentage terms. We finally point out the potential exploitability of the phenomenon by implementing a basic algorithmic trading strategy and retroactively applying it to the data. We explain the findings mainly through (i) investor and trader overreaction, (ii) excess volatility and (iii) cascading liquidations due to excessive use of leverage by market participants.

scholarly journals Empirical Insights from a Study on Outlier Preserving Value Generalization in Animated Choropleth Maps

2021 ◽  
Vol 10 (4) ◽  
pp. 208
Author(s):  
Christoph Traun ◽  
Manuela Larissa Schreyer ◽  
Gudrun Wallentin
Keyword(s):  
Time Series ◽  
Empirical Research ◽  
Global Trends ◽  
First Order ◽  
Choropleth Maps ◽  
Temporal Generalization ◽  
Perceptual Limits ◽  
Local Outlier

Time series animation of choropleth maps easily exceeds our perceptual limits. In this empirical research, we investigate the effect of local outlier preserving value generalization of animated choropleth maps on the ability to detect general trends and local deviations thereof. Comparing generalization in space, in time, and in a combination of both dimensions, value smoothing based on a first order spatial neighborhood facilitated the detection of local outliers best, followed by the spatiotemporal and temporal generalization variants. We did not find any evidence that value generalization helps in detecting global trends.

scholarly journals Business Days Time Series Weekly Trend and Seasonality

2021 ◽  
Vol 5 (1) ◽  
pp. 26
Author(s):  
Karlis Gutans
Keyword(s):  
Time Series ◽  
Global Warming ◽  
Exchange Rates ◽  
Temperature Data ◽  
Adjustment Method ◽  
Currency Exchange ◽  
Currency Exchange Rates ◽  
Time Series Decomposition ◽  
The World

The world changes at incredible speed. Global warming and enormous money printing are two examples, which do not affect every one of us equally. “Where and when to spend the vacation?”; “In what currency to store the money?” are just a few questions that might get asked more frequently. Knowledge gained from freely available temperature data and currency exchange rates can provide better advice. Classical time series decomposition discovers trend and seasonality patterns in data. I propose to visualize trend and seasonality data in one chart. Furthermore, I developed a calendar adjustment method to obtain weekly trend and seasonality data and display them in the chart.

scholarly journals Network Analysis of Cross-Correlations on Forex Market during Crises. Globalisation on Forex Market

Entropy ◽  
2021 ◽  
Vol 23 (3) ◽  
pp. 352
Author(s):  
Janusz Miśkiewicz
Keyword(s):  
Time Series ◽  
Network Analysis ◽  
Exchange Rates ◽  
Power Law ◽  
Financial Crises ◽  
Classification Scheme ◽  
Significant Growth ◽  
Cross Correlations

Within the paper, the problem of globalisation during financial crises is analysed. The research is based on the Forex exchange rates. In the analysis, the power law classification scheme (PLCS) is used. The study shows that during crises cross-correlations increase resulting in significant growth of cliques, and also the ranks of nodes on the converging time series network are growing. This suggests that the crises expose the globalisation processes, which can be verified by the proposed analysis.

Creating Dynamic Pretrade Models: Beyond the Black Box

2018 ◽  
Keyword(s):  
Functional Form ◽  
Information Leakage ◽  
Black Box ◽  
Sensitivity Analyses ◽  
Stock Selection ◽  
Market Participants ◽  
Box Models ◽  
Portfolio Managers ◽  
Black Box Models ◽  
Shed Light

We provide a framework for investment managers to create dynamic pretrade models. The approach helps market participants shed light on vendor black-box models that often do not provide any transparency into the model’s functional form or working mechanics. In addition, this allows portfolio managers to create consensus estimates based on their own expectations, such as forecasted liquidity and volatility, and to incorporate firm proprietary alpha estimates into the solution. These techniques allow managers to reduce overdependency on any one black-box model, incorporate costs into the stock selection and portfolio optimization phase of the investment cycle, and perform “what-if” and sensitivity analyses without the risk of information leakage to any outside party or vendor.

scholarly journals Aanalytical Solution for Motion Around Radiated Varying Mass Body

2019 ◽  
Vol 16 ◽  
pp. 8407-8419
Author(s):  
Marwa Abdullah Bin Humaidan ◽  
M. I. El-Saftawy ◽  
H. M. Asiri
Keyword(s):  
Time Series ◽  
Radiation Pressure ◽  
Pressure Effect ◽  
Hamiltonian Function ◽  
Perturbation Techniques ◽  
First Order ◽  
D Operator ◽  
Order Solution ◽  
Delaunay Variables ◽  
Varying Mass

In this work we will add the radiation pressure effect of varying mass body to the model of varying mass Hamiltonian function, including Periastron effect. The problem was formulated in terms of Delaunay variables. The solution of the problem was constructed based on Delava – Hansilmair perturbation techniques. Finally we find the first order solution for the problem as time series by calculating the desired order for the D operator and variables.

scholarly journals RECONSTRUCTION OF UNIDIRECTIONALLY COUPLED TIME-DELAYED SYSTEMS OF FIRST ORDER FROM TIME SERIES OF THE DRIVEN SYSTEM

2017 ◽  
Vol 25 (1) ◽  
pp. 84-93 ◽  
Author(s):  
Mikhail D. Prokhorov ◽  
◽  
Vladimir I. Ponomarenko ◽  
Ilya V. Sysoev ◽  
◽  
...  
Keyword(s):  
Time Series ◽  
Delayed Systems ◽  
First Order ◽  
Driven System

Corner Reflector Network as a Geodetic Reference for Landslide Monitoring via InSAR Time Series: Case Study from Slovakia

2021 ◽  
Author(s):  
Richard Czikhardt ◽  
Juraj Papco ◽  
Peter Ondrejka ◽  
Peter Ondrus ◽  
Pavel Liscak
Keyword(s):  
Time Series ◽  
Horizontal Displacement ◽  
Terrestrial Reference Frame ◽  
Sar Interferometry ◽  
Global Navigation Satellite Systems ◽  
Reference Network ◽  
Landslide Monitoring ◽  
First Order ◽  
Order Estimation ◽  
Better Than

<p>SAR interferometry (InSAR) is inherently a relative geodetic technique requiring one temporal and one spatial reference to obtain the datum-free estimates on millimetre-level displacements within the network of radar scatterers. To correct the systematic errors, such as the varying atmospheric delay, and solve the phase ambiguities, it relies on the first-order estimation network of coherent point scatterers (PS).</p><p>For vegetated and sparsely urbanized areas, commonly affected by landslides in Slovakia, it is often difficult to construct a reliable first-order estimation network, as they lack the PS. Purposedly deploying corner reflectors (CR) at such areas strengthens the estimation network and, if these CR are collocated with a Global Navigation Satellite Systems (GNSS), they provide an absolute geodetic reference to a well-defined terrestrial reference frame (TRF), as well as independent quality control.</p><p>For landslides, line-of-sight (LOS) InSAR displacements can be difficult to interpret. Using double CR, i.e. two reflectors for ascending/descending geometries within a single instrument, enables the assumption-less decomposition of the observed cross-track LOS displacements into the vertical and the horizontal displacement components.</p><p>In this study, we perform InSAR analysis on the one-year of Sentinel-1 time series of five areas in Slovakia, affected by landslides. 24 double back-flipped trihedral CR were carefully deployed at these sites to form a reference network, guaranteeing reliable displacement information over the critical landslide zones. To confirm the measurement quality, we show that the temporal average Signal-to-Clutter Ratio (SCR) of the CR is better than 20 dB. The observed CR motions in vertical and east-west directions vary from several millimetres up to 3 centimetres, with average standard deviation better than 0.5 mm.<br>Repeated GNSS measurements of the CR confirm the displacement observed by the InSAR, improve the positioning precision of the nearby PS, and attain the transformation into the national TRF.</p>

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