We consider two major venues that exchange BTC-ETH on the blockchain, namely the Uniswap v3 WBTC-WETH liquidity pools with proportional transaction costs of 5 and 30 basis points respectively. A multivariate linear regression model with quadratic terms is introduced to predict the logarithm of...

In multivariate time series systems, key insights can be obtained by discovering lead-lagrelationships inherent in the data, which refer to the dependence between two timeseries shifted in time relative to one another, and which can be leveraged for thepurposes of control, forecasting or...

We introduce OFTER, a time series forecasting pipeline tailored for mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and Generalized Regression Neural Networks, integrated with a dimensionality reduction component. To circumvent the curse of...