12 citations · 13 across the 13 of their papers we have counts for
14 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…
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…
Intraday order transition dynamics in high, medium, and low market cap stocks: A Markov chain approach
S. R. Luwang, A. Rai, Md. Nurujjaman +1
An empirical stochastic analysis of high-frequency, tick-by-tick order data of NASDAQ100 listed stocks is conducted using a first-order discrete-time Markov chain model to explore…
Identifying Extreme Events in the Stock Market: A Topological Data Analysis
Anish Rai, Buddha Nath Sharma, Salam Rabindrajit Luwang +2
This paper employs Topological Data Analysis (TDA) to detect extreme events (EEs) in the stock market at a continental level. Previous approaches, which analyzed stock indices sepa…
Complex network analysis of cryptocurrency market during crashes
Kundan Mukhia, Anish Rai, SR Luwang +3
This paper identifies the cryptocurrency market crashes and analyses its dynamics using the complex network. We identify three distinct crashes during 2017-20, and the analysis is…
High-Frequency Stock Market Order Transitions during the US-China Trade War 2018: A Discrete-Time Markov Chain Analysis
Salam Rabindrajit Luwang, Anish Rai, Md. Nurujjaman +2
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-t…