The majority of electronic markets worldwide employ limit order books, and the recently emerging exchanges for cryptocurrencies pose no exception. With this work, we empirically analyze whether commonly observed empirical properties from established limit order exchanges transfer to the...

Partial cointegration is a weakening of cointegration, allowing for the residual series to contain a mean-reverting and a random walk component. Analytically, the residual series is described by a partially autoregressive process. The partialCI package provides estimation, testing, and...