Other Statistics and Probability Commons^™

A Study Of Cusum Statistics On Bitcoin Transactions, Ivan Perez

Theses and Dissertations

In this thesis, our objective is to study the relationship between transaction price and volume in the BTC/USD Coinbase exchange. In the second chapter, we develop a consecutive CUSUM algorithm to detect instantaneous changes in the arrival rate of market orders. We begin by estimating a baseline rate using the assumption of a local time-homogeneous Poisson process. Our observations lead us to reject the plausibility of a time-homogeneous Poisson model on a more global scale by using a chi squared test. We thus proceed to use CUSUM-based alarms to detect consecutive upward and downward changes in the arrival rate of …