11 papers
Scaling laws of Stablecoin Transactions: Evidence from USDT and USDC on the Ethereum blockchain
Kundan Mukhia, Sabat Rai, Vivek Shrivastav +2
Stablecoins have rapidly emerged as an important class of digital assets and a component of the digital financial ecosystem. Despite their growing importance, the statistical prope…
Structural Dynamics of G5 Stock Markets During Exogenous Shocks: A Random Matrix Theory-Based Complexity Gap Approach
Kundan Mukhia, Imran Ansari, Md. Nurujjaman
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we…
Detecting Regime Transitions in Dynamical Systems via the Mixup Euler Characteristic Profile
Sushovan Majhi, Atish Mitra, Santanu Nandi +2
We develop a framework for detecting regime transitions in dynamical systems using the Mixup Euler Characteristic Profile (Mixup ECP) -- the Euler characteristic of the geometric i…
Interpretable Classification of Time Series Using Euler Characteristic Surfaces
Salam Rabindrajit Luwang, Sushovan Majhi, Vishal Mandal +3
Persistent homology (PH) -- the conventional method in topological data analysis -- is computationally expensive, requires further vectorization of its signatures before machine le…
Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
Salam Rabindrajit Luwang, Buddha Nath Sharma, Kundan Mukhia +4
Financial markets alternate between tranquil periods and episodes of stress, and return dynamics can change substantially across these regimes. We study regime-dependent dynamics i…
Intraday Limit Order Price Change Transition Dynamics Across Market Capitalizations Through Markov Analysis
Salam Rabindrajit Luwang, Kundan Mukhia, Buddha Nath Sharma +3
Quantitative understanding of stochastic dynamics in limit order price changes is essential for execution strategy design. We analyze intraday transition dynamics of ask and bid or…