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We focus on the existence of bubbles in fan tokens, utilizing the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests. We use daily closing prices of the top 20 fan tokens according to their market capitalization, along with Bitcoin, Ethereum,...
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This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...
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We suggest a two-step approach in detecting HFT activity from order and trade data. While the first step focuses on multiple actions of an order submitter in low latency, the second searches for the surroundings of these orders to link related orders. On a sample of 2015 data from Borsa...
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Impacts of high-frequency trading (HFT) on market quality and various actors have been broadly studied. However, what happens when HFT is not a prominent figure in a market remains relatively unexplored. The paper seeks to answer this question focusing on 30 blue chip stocks in an emerging...
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