{"id":"https://openalex.org/W7225269772","doi":"https://doi.org/10.48550/arxiv.2611.04533","title":"How market volatility responds to a preceding price trend: a lag-resolved measurement in cryptocurrencies and equities","display_name":"How market volatility responds to a preceding price trend: a lag-resolved measurement in cryptocurrencies and equities","publication_year":2026,"publication_date":"2026-11-03","ids":{"openalex":"https://openalex.org/W7225269772","doi":"https://doi.org/10.48550/arxiv.2611.04533"},"language":"en","primary_location":{"id":"doi:10.48550/arxiv.2611.04533","doi":"https://doi.org/10.48550/arxiv.2611.04533","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2611.04533","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"volume":null,"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.48550/arxiv.2611.04533","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5160718113","display_name":"Gulsah Bicki","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Bicki, Gulsah","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5110248754","display_name":"T. Akdo\u011fan","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Akdogan, Taylan","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7397000193595886,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.7397000193595886,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.15629999339580536,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.06350000202655792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[],"concepts":[{"id":"https://openalex.org/C180706569","wikidata":"https://www.wikidata.org/wiki/Q13479982","display_name":"Cryptocurrency","level":2,"score":0.6887999773025513},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6477000117301941},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6430000066757202},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.623199999332428},{"id":"https://openalex.org/C38976095","wikidata":"https://www.wikidata.org/wiki/Q752641","display_name":"Asymmetry","level":2,"score":0.6032999753952026},{"id":"https://openalex.org/C139676723","wikidata":"https://www.wikidata.org/wiki/Q1193832","display_name":"Sign (mathematics)","level":2,"score":0.4918000102043152},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.4652000069618225},{"id":"https://openalex.org/C75778745","wikidata":"https://www.wikidata.org/wiki/Q342626","display_name":"Lag","level":2,"score":0.4611000120639801},{"id":"https://openalex.org/C173921975","wikidata":"https://www.wikidata.org/wiki/Q1806850","display_name":"Moneyness","level":2,"score":0.3944000005722046},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.3828999996185303},{"id":"https://openalex.org/C89128539","wikidata":"https://www.wikidata.org/wiki/Q1949963","display_name":"Statistic","level":2,"score":0.37380000948905945},{"id":"https://openalex.org/C2985497776","wikidata":"https://www.wikidata.org/wiki/Q1148384","display_name":"Leverage effect","level":4,"score":0.3594000041484833},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.326200008392334},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.29750001430511475},{"id":"https://openalex.org/C165064840","wikidata":"https://www.wikidata.org/wiki/Q1321061","display_name":"Matching (statistics)","level":2,"score":0.29490000009536743},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.2856999933719635},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2797999978065491},{"id":"https://openalex.org/C2985330422","wikidata":"https://www.wikidata.org/wiki/Q724931","display_name":"Market efficiency","level":2,"score":0.27239999175071716},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.257099986076355}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.48550/arxiv.2611.04533","doi":"https://doi.org/10.48550/arxiv.2611.04533","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2611.04533","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.48550/arxiv.2611.04533","doi":"https://doi.org/10.48550/arxiv.2611.04533","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2611.04533","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0],"quantify":[1],"the":[2,23,35,49,59,61,66,69,74,80,92,95,120,128,149,160,171,177,187,202,216,228,239,249,263,269,272,288,295,301],"response":[3,24,209,217,307],"of":[4,15,22,30,34,68,109,137,165,186,192,227,252,261,268,271,278,294,304],"market":[5],"volatility":[6],"to":[7,131],"a":[8,13,39,100,106,135,142,152,156,206,231,305,310],"preceding":[9],"price":[10],"trend":[11,93,244],"as":[12],"function":[14],"lag":[16,136,179],"at":[17,79,88,190,213,235],"minute":[18],"resolution.":[19],"The":[20,27,254],"asymmetry":[21,62,129,150,265],"is":[25,63,77,174,181,201,218,248,266],"investigated.":[26],"sample":[28],"consists":[29],"trades":[31],"in":[32,43,210,224,238,309],"three":[33,44],"largest":[36],"cryptocurrencies":[37,60],"on":[38],"single":[40],"exchange":[41],"and":[42,48,56,86,126,141,155,169,184,194,274,276,283],"large":[45],"US":[46],"stocks":[47],"S&P":[50],"500":[51],"exchange-traded":[52],"fund":[53],"between":[54,182],"2020":[55],"2026.":[57],"For":[58,124,167],"positive,":[64],"matching":[65],"sign":[67,111],"leverage":[70],"effect.":[71],"It":[72,298],"follows":[73,94],"trend:":[75],"it":[76,180],"greatest":[78],"first":[81,178],"measurable":[82],"lag,":[83],"20":[84,195,198,236],"minutes,":[85],"weak":[87],"negative":[89],"lags,":[90],"where":[91],"volatility.":[96],"At":[97,176,197],"those":[98],"lags":[99],"scan":[101],"over":[102,242],"window":[103,215],"lengths":[104],"resolves":[105],"small":[107],"component":[108],"opposite":[110],"that":[112,214],"has":[113],"not":[114],"yet":[115],"been":[116],"disentangled":[117],"from":[118],"what":[119],"statistic":[121],"itself":[122],"generates.":[123],"Bitcoin":[125,168],"Ether":[127,170],"decays":[130],"one":[132],"half":[133],"by":[134,205],"roughly":[138],"an":[139,163,259],"hour":[140],"half.":[143],"Decomposition":[144],"under":[145],"time":[146,302],"reversal":[147],"divides":[148],"into":[151],"T-even":[153,188],"part":[154,173,189,234],"T-odd":[157,172,233],"part.":[158],"Only":[159],"latter":[161],"carries":[162],"arrow":[164,260],"time.":[166,225],"detected.":[175],"0.4":[183],"0.9":[185],"windows":[191],"10":[193],"minutes.":[196],"minutes":[199,237],"this":[200,211],"ratio":[203],"produced":[204],"purely":[207],"one-sided":[208,223,306],"statistic:":[212],"consistent":[219],"with":[220,292],"being":[221],"wholly":[222],"None":[226],"equities":[229],"exhibits":[230],"detectable":[232],"straight-line":[240],"fit":[241,247],"2.5":[243],"scales.":[245],"This":[246],"shared":[250],"instrument":[251],"comparison.":[253],"fund's":[255],"return-variance":[256],"correlation":[257],"displays":[258],"time;":[262],"cryptocurrencies'":[264],"independent":[267],"shapes":[270],"fits,":[273],"Bitcoin's":[275],"Ether's":[277],"their":[279],"ranges.":[280],"On":[281],"simulated":[282,311],"shuffled":[284],"data":[285],"without":[286],"coupling,":[287],"analysis":[289],"yields":[290],"zero":[291],"errors":[293],"correct":[296],"size.":[297],"also":[299],"recovers":[300],"scale":[303],"embedded":[308],"market.":[312]},"counts_by_year":[],"updated_date":"2026-11-05T12:25:35.769452","created_date":"2026-11-05T00:00:00"}
