Tests / kyles_lambda_vol_vs_mcap

Kyles Lambda Vol Vs Mcap

CONSISTENTMonetary PolicyLOW confidence

Description

Figures

Kyle's Lambda: Treasury Realized Vol and Stablecoin Mcap Over TimeKyle's Lambda: Treasury Realized Vol and Stablecoin Mcap Over TimeKyle's Lambda: Treasury Realized Vol vs Stablecoin Ecosystem SizeKyle's Lambda: Treasury Realized Vol vs Stablecoin Ecosystem Size

Statistics

n74
r20.4043
n h137
n h237
b year0.0142
p year0.0080
b year2-0.0083
p value0.0427
p year28.181e-6
b mcap h10.0099
b mcap h20.0975
p mcap h10.4521
p mcap h20.0784
statistic-0.0173
p two tailed0.0853

Script

thesis-tests/tests/applications/test_kyles_lambda.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_kyles_lambda

Data Sources

  • FRED