7 papers
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…
Core-Periphery Dynamics in Market-Conditioned Financial Networks: A Conditional P-Threshold Mutual Information Approach
Kundan Mukhia, Imran Ansari, S R Luwang +1
This study investigates how financial market structure reorganizes during the COVID-19 crash using a conditional p-threshold mutual information (MI) based Minimum Spanning Tree (MS…
Early-Warning Signals of Political Risk in Stablecoin Markets: Human and Algorithmic Behavior Around the 2024 U.S. Election
Kundan Mukhia, Buddha Nath Sharma, Salam Rabindrajit Luwang +4
We study how the 2024 U.S. presidential election, viewed as a major political risk event, affected cryptocurrency markets by distinguishing human-driven peer-to-peer stablecoin tra…
Universal Patterns in the Blockchain: Analysis of EOAs and Smart Contracts in ERC20 Token Networks
Kundan Mukhia, SR Luwang, Md. Nurujjaman +3
Scaling laws offer a powerful lens to understand complex transactional behaviors in decentralized systems. This study reveals distinctive statistical signatures in the transactiona…
Causality Analysis of COVID-19 Induced Crashes in Stock and Commodity Markets: A Topological Perspective
Buddha Nath Sharma, Anish Rai, SR Luwang +2
The paper presents a comprehensive causality analysis of the US stock and commodity markets during the COVID-19 crash. The dynamics of different sectors are also compared. We use T…