High-frequency Uniswap v3 crypto data show non-quadratic potentials, with double-well shapes at short sampling frequencies that the author links to market stress.
kramersmoyal: Kramers--Moyal coefficients for stochastic processes
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kramersmoyal is a python library to extract the Kramers--Moyal coefficients from timeseries of any dimension and to any desired order. This package employs a non-parametric Nadaraya--Watson estimator, i.e., kernel-density estimators, to retrieve the drift, diffusion, and higher-order moments of stochastic timeseries of any dimension.
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Non-Linear and Meta-Stable Dynamics in Financial Markets: Evidence from High Frequency Crypto Currency Market Makers
High-frequency Uniswap v3 crypto data show non-quadratic potentials, with double-well shapes at short sampling frequencies that the author links to market stress.