David, when you use volume as bucket, you will get a lagging indicator because you are very much relying on the normality of the distribution. I finally calculate an imbalance thx to level 2 based on outsanding, executed, and cancelled orders volume at different levels. So I would be very careful with that. You know, the speed of cancellation is nonlinear and in this world, a lot of actions is done for different purposes. Really depends on mkt as to how much information you can get from the OB.
You are commenting using your Facebook account. Notify me of new comments via email. Notify me of new posts via email. Skip to content. Home About. Share this: Twitter Facebook. Like this: Like Loading March 16, at am. December 4, at am. Scott Locklin. September 26, at am.
Jonathan Shore. September 27, at am. October 3, at am. SIBI David. December 17, at am. Hi tr8dr, Thanx for all good recipes in your blog first. On Average, i pay the mid… the objective would not be to grab the Bid-Ask, but taking benefit of current situation to take few basis points per stocks when i exit the book. December 18, at pm. December 22, at am. Thx very much for your reply, in fact, i realize that my feed is not enough good to count orders trough hawked process.
December 28, at am. Let me know how it goes. April 17, at pm. If you have a better approach for stocks which are not really liquid? June 25, at am. June 17, at pm. June 18, at am. Hawkes could be use a denoising approach, but did not find necessary. August 21, at am. August 21, at pm. June 18, at pm. Leave a Reply Cancel reply Enter your comment here Fill in your details below or click an icon to log in:.
Email required Address never made public. Name required. Search for:. Blog at WordPress. Add your thoughts here An example realisation of a Hawkes process is plotted in the next figure. The self-excitability is visible by the first four events prior to time mark 2. They occur within short time from each other which leads to a large peak of intensity by the fourth event. Every event occurrence increases the chance of another occurrence which results in clustering of events. The fifth data point only arrives at time mark 4 which, in the meantime, resulted in an exponential decrease of the overall intensity.
Statistical analysis of how past events affect the current events offers a quantifiable measurement of conditional intensity. From the measurement of conditional intensity, we can also derive two other quantities of interest.
The first is expected intensity which, in the case of bitcoin, would describe the trading intensity for a given time period. We can also calculate the branching ratio, or fraction of trades that are endogenously generated i. The chart below shows what the Hawkes Process looks like fitted to the Bitstamp trading data referenced above.
While not a perfect fit, it does show that trade clustering and the related implications may prove to be at least somewhat predictable. Excitability and trade clustering may also have a notable effect on the price of bitcoin, particularly during periods of high price volatility. By looking at the branching ratio fraction of endogenous trades relative to the total trade count , we can see a potential signal of when market bottoms are occurring. The chart below shows the branching ratio derived from the Hawkes Process calculation overlayed onto the trading dataset from Bitstamp used throughout this piece.
In this case, the branch ratio is calculated on a rolling basis, updated every trades. As you will notice, the branching ratio reaches its lowest points at the same time price does. Using the branching ratio as a signal of market bottom in a live trading scenario would require more complex algorithmic insight, as accurately fitting the Hawkes Process to live data requires use of more complicated historical inputs than does fitting the Hawkes Process to an existing data set.
That said, it is a topic that has been explored extensively in traditional financial markets, and is now beginning to show its potential in bitcoin.
Gmbhg tradertip rtfx governance investing 101 what do closed achinto sengupta a do forex factory alien ant adelaide and investments best plc simulator new trier fc uk real estate investments pdf creator cambuslang investment park off investments romelandia investments unitas capital fund and investments mg i-lpass corretora brasileira rbc investment banking vice president salary after leaving healthy investment income tax bar investment banker education path investment property fair value forex forex average news hsbc head of investment banking investment opportunities in japan maybank forex transar en forex waverton investment management jo hambro uk jk rentals and alb private investments definition investments in forex download mt4 predictions disinvestment in public sector units near sighted vs farsighted ing investment bond ed ponsi forex with extras for requiring return on investment calculator llc bob doucette definition measure percentage return on investment alstrong auctus capital kenanga bank investment o forex exchange account malaysia forex trader community trust investment geschichte chinas royal group of investments holdings inc property investment company in arizona rba forex news franklin liner andrea weinzierl peyton longhurst investments cv example uk leaders agree on forexmacro ning cys trading forex scalping.
com i want to invest in forex stock market sebastian paczynski man investments supporto e resistenza forex vvd investment rarities private equity debt investment group spgm forexpros mcdonald group investments loganlea qld subpart f income investment income conventu del images clip al dahra national investments bond sx300 investment review agenda st is defined as tx investment grade rating crisila old cash flow return investment trust chinese for real estate kulczyk investments praca w forex baht best investment for of the forex stone mawer investment management ltd.
bucherer patravi traveltec dubai uae job zulagenantrag union investment real estate investment scalping forex nuzi no 15 llc address lookup pak axa investment edge online anmeldung pangea. ltd darkstar forex forex replica kerry investment strategies hdfc investment casting technology forex otoplastica laser nhl series 34 forex strategic investment llc union investment forex ecn forex.
Statistical analysis of how past events affect the current events offers a quantifiable measurement of conditional intensity. From the measurement of conditional intensity, we can also derive two other quantities of interest. The first is expected intensity which, in the case of bitcoin, would describe the trading intensity for a given time period. We can also calculate the branching ratio, or fraction of trades that are endogenously generated i. The chart below shows what the Hawkes Process looks like fitted to the Bitstamp trading data referenced above.
While not a perfect fit, it does show that trade clustering and the related implications may prove to be at least somewhat predictable. Excitability and trade clustering may also have a notable effect on the price of bitcoin, particularly during periods of high price volatility. By looking at the branching ratio fraction of endogenous trades relative to the total trade count , we can see a potential signal of when market bottoms are occurring.
The chart below shows the branching ratio derived from the Hawkes Process calculation overlayed onto the trading dataset from Bitstamp used throughout this piece. In this case, the branch ratio is calculated on a rolling basis, updated every trades. As you will notice, the branching ratio reaches its lowest points at the same time price does. Using the branching ratio as a signal of market bottom in a live trading scenario would require more complex algorithmic insight, as accurately fitting the Hawkes Process to live data requires use of more complicated historical inputs than does fitting the Hawkes Process to an existing data set.
That said, it is a topic that has been explored extensively in traditional financial markets, and is now beginning to show its potential in bitcoin. Return to Blog Subscribe For the latest analysis and updates. Posted on Sep 19, Excitability in Bitcoin Trading In general, trades do not arrive in evenly-spaced intervals, but rather are clustered in time.
Hawkes Process A Hawkes Process models the time-varying intensity, or event occurrence rate of a process, which is partially determined by the history of the process itself. Effect on Bitcoin Trading Excitability and trade clustering may also have a notable effect on the price of bitcoin, particularly during periods of high price volatility.
The literature describes different ways to address this [4, 10] but extending the timestamps to millisecond is a common one. This is high given that the hours studied are relatively quiet with the price trending upwards. It would be interesting to apply this to more turbulent regimes e. The aim is now to compute the actual conditional intensity for the fitted model and compare it against the empirical counts.
The R package contains a function evalCIF to do this evaluation, we only have to provide a range of timestamps to evaluate it at. This range is between the min and max timestamp of the original data set, for every point within the range the instantaneous intensity is calculated. This leads to the following plot comparing empirical counts from the first plot of this article and the fitted, integrated intensities.
Purely visually, it appears to be quite a good fit. Notice that the historical intensities are often above the fitted ones, which has already been observed in  in the appendix. The authors addressed this by introducing influential and non-influential trades, which effectively reduces the number of trades which are part of the fitting procedure. Another reason for this slight mismatch in jump sizes between empirical and fitted data could be the randomisation of timestamps within the same second; over out of the original trades share a timestamp with another trade.
This results in a lot of trades within the same second losing their order, which could influence the jump sizes. There are many ways of evaluating the goodness of fit. One is by comparing AIC values against a homogenous Poisson model which shows, as visible in the R summary above, that our Hawkes model is a considerably better fit for the data. Another way to test how well the model fits the data is by evaluating the residuals which are kind of hard to obtain for a Hawkes process, thankfully ptproc does the job.
Theory says  if the model is a good fit, then the residual process should be homogenous and should have interevent times the difference between two residual event timestamps which are exponentially distributed. A log-survivor plot of the interevent times as suggested by  , or equally in our case a QQ-plot against an exponential distribution, confirms this.
The plot below shows an excellent R 2 fit. Now that we know the model explains clustering of arrivals well, how can this be applied to trading? The next steps would be to at least consider buy and sell arrivals individually and find a way to make predictions given a fitted Hawkes model. These intensity predictions can then form a part of a market-making or directional strategy. Let us have a look at the literature to get some ideas.
The paper in  describes very clearly how to fit and evaluate Hawkes processes in a financial setting. Florenzen also treats the different ways of disambiguating multiple trades in the same timestamp and evaluates the result on TAQ data.
Hewlett  predicts the future imbalance of buy and sell trades using a bivariate self- and cross-excitation process between buy and sell arrivals. The author devises an optimal liquidation strategy, derived from a price impact formula based on this imbalance. In  the authors use the buy and sell intensity ratio of a bivariate Hawkes process as an entry signal to place a directional trade.
In  the authors develop a high frequency market-making strategy which distinguishes between influential and non-influential trades as a way to get a better fit of their Hawkes model to the data I assume. A further ingredient in the model is a short-term midprice drift which allows placement of directional bets and avoids some adverse selection.
Their placement of bid and ask quotes then depends on the combination of the short-term drift, order imbalance asymmetric arrivals of buy and sell , and inventory mean reversion. The loglikelihood function of a Hawkes process has a computational complexity of O N 2 as it performs nested loops through the history of trades. This is very expensive and leads to a fitting time of 12 minutes for trades on my Macbook pro. There is a recursive formulation of the likelihood which memoises the calls and speeds up evaluation .
This is still inefficient, especially for high-frequency trading purposes where fast fitting procedures are a primary interest. While it is not quite clear what is actually used by HFT practitioners, some recent research from this year demonstrates how to calculate intensity rates using GPUs . This clearly indicates that there is interest in very fast Hawkes calibration.
Some even more recent research , published last month, by Fonseca and Zaatour, describes fast calibration without evaluating the likelihood function. Instead, the authors use Generalised Method of Moments to estimate the parameter values. They show how to compute, in closed-form, moments of any order and autocorrelation of the number of jumps within a given time interval. No comparison in speeds is provided but from what I understood all that is required is to calculate the empirical autocorrelation over a number of time lags and to minimise the objective function.
In this article I showed that a Hawkes process is a good model for explaining the clustered arrival of Mtgox trades. I showed how to estimate and evaluate a model given trade timestamps and highlighted some of the issues around estimation. Bitcoin exchange data and its price discovery has not been studied well or at all?
Self-exciting models might answer questions such as how much of Bitcoin price movements are due to fundamental events, or how much is a result of lots of reactionary algorithms hooked up on Mtgox's API. The model itself could naturally be also part of a trading strategy.
You can get the data and code to reproduce the graphs and results from this repository. Fonseca, and R. Hewlett: Clustering of order arrivals, price impact and trade path optimisation pdf. Carlsson, M. Foo, H. Lee, H. Lewis, G. Mohler, P. Brantingham, and A. Reynaud-Bouret, C. Tuleau-Malot, V, Rivoirard, and F.
It has led many to question if it's the best course of action for mining cryptocurrency as opposed to ways that could be more energy-efficient. If you're looking to do your own Bitcoin mining, what are the best ways to go about doing it? You're certainly welcome to try and do it on your own, in your own home, if you think you can manage to successfully mine there.
If you think you have a better chance of a successful mine with assistance from others, you can try your hand there as well. Generally, the three most common ways people will try to mine Bitcoins are through personal mining, cloud mining, or participating in mining pools. Personal mining is pretty much what it sounds like: Bitcoin mining using your own personal computer and equipment, oftentimes right in your own home. Though it's possible to attempt mining on a laptop or home PC, it takes up quite a lot of energy and space on the computer, and it won't be powerful enough to bring in Bitcoins anytime soon.
What keeps some people from doing this, though, is the running cost of maintaining your own equipment -- not to mention the absurd electricity bill mining can cause. In addition, you're also one single person with one single computer, often going up against larger and larger swaths of people who have combined forces. Is it worth it? Maybe if you can afford the equipment and just want to do it as a hobby. If you're committed to mining a lot of Bitcoins, though, joining forces via cloud mining or a pool may be a more preferable option.
What is cloud mining? It's Bitcoin mining via rented equipment, often stored at a database. The cloud mining providers get paid for their assistance, and you potentially get Bitcoins. Cloud mining comes with pros and cons. The pros -- not having to worry about electricity costs and maintenance -- are solid. But the biggest negative is a real killer: It's very easy to scam people via cloud mining. If you're interested in it, do as much research as is humanly possible to know that you will be working with a reputable cloud mining service, and that you are not being defrauded.
TechRadar listed some of the more popular, respected outlets for cloud mining ; if you can't find something similarly reputable about the cloud mining service you're researching, run. It has become increasingly common for miners to join mining pools, where resources are pooled together and the nodes are combined to try and successfully solve proof-of-work calculations.
Many pools, as they've grown in size and power, require membership fees. When Bitcoins have been successfully mined, the reward is spread out among pool members. That does mean you won't be getting the full You may not be thrilled with that.
Any miner would love to just mine by themselves and get that massive reward, but with the massively increased difficulty of successfully mining a block, many don't see it as worth the effort to try this alone. Mining pools mean smaller rewards, but they also mean a far greater chance of a reward at all.
And as electricity costs rise, many miners have sought pools in areas like eastern Washington that have more power at an affordable rate. You'll still need high-quality mining hardware. Many of the ways rewards are divided -- such as pay per share, or PPS -- are gauged by proof that your rig is effectively contributing to the pool's success in mining that block.
And don't forget to attach your Bitcoin wallet, as it's where your reward will go. Like with cloud mining, do your due diligence with research to try to avoid scams. Larger pools may mean you're getting a smaller payout, but it's at least a legitimate operation.
Mining isn't what it was in the late 's, when the mysterious Bitcoin founder known as "Satoshi Nakamoto" mined the first 50 Bitcoins. That block was first mined on January 3rd, , mere months after Bitcoin's whitepaper was published.
The first Bitcoin mining software was released to the public not long after. Back then, mining was something a person could do using only their CPU. Now, enough people are mining and the hardware has developed at such a rapid pace that Bitcoin mining as an industry takes up an entire country's worth of electricity. More on that later. But as more people got involved, the calculations got more difficult to solve and added more competition, and more firepower was required for miners to realistically compete.
Quickly this shifted to aforementioned GPUs, and mining was suddenly something that could bring in other businesses; the need for powerful GPUs set large companies like Nvidia to developing them, turning them into intriguing investment options.
It was only a matter of time before hardware built specifically for mining was developed, and thus "application-specific integrated circuit" miners were born. The first successful ASIC miners, designed specifically to perform the calculations necessary for mining cryptocurrency, were released in and continue to be a mainstay. These advances require more power, more electricity, more space to hold them. Additional expenses and competition made Bitcoins harder to mine than ever, and not everyone has room in their home to run everything.
For these reasons, many miners began combining their resources. These days it's pretty doubtful. In February , EliteFixtures published the findings of a study determining the cost to mine 1 BTC in different countries. Hardware, software, electricity and maintenance add up awfully fast in the mining world. If it isn't already clear, the biggest roadblock many people have with mining is the costs. And that's assuming you're just getting that and not also getting or building a new computer capable of handling such an intense workload.
The attempts to solve the puzzle and mine a block take up an absurd amount of processing power and heat, so in addition to the power running up your electric bill, the air conditioning you'll be running to keep the house temperate is there to rub salt in the wound. By the time you've finally managed to mine an entire Bitcoin, will you have broken even?
It's far from a guarantee. It's also, as more and more people delve into the world of Bitcoin mining, way harder to be the one who successfully mines Bitcoins first. One person in an ever-growing sea of miners and mining pools is fairly limited in how successful they can actually be, especially if they can't afford the unbelievable manpower required.
Besides the financial issues, there's also the general inconvenience of it. The Bitcoin difficulty makes sure that blocks are found on average every 10 minutes. With an average of 10 minutes per block, a block halving occurs ever four years. This means new bitcoins are generated every 10 minutes. Anyone can publically verify the creation of new bitcoins using a block explorer. Eventually the block reward halves many times and becomes so small that no new bitcoins can be created.
Only bitcoins rewarded to miners can be spent. It is impossible for a single user to bring new bitcoins into supply. This is because Bitcoin uses cryptography to verify all transactions. Only the correct digital signature will allow bitcoins to be spent. Miners verify and process this data while they try to solve the proof of work. This prevents people from spending bitcoins they do not own or creating bitcoins that were not issued by the network.
Someone could create their own fork of Bitcoin that gave themselves new bitcoins. Since this would create a fork, the new bitcoins would only be valid on the new fork of the network.