The following note is motivated by the blog post, “Bitcoin Trade Arrival as Self-Exciting Process”. Since the author has shared the data and code, I wanted to check some of the numbers from the post. The author uses “ptproc” which is deprecated library and has been removed from CRAN. In this note I have used the trades dataset from the author’s github directory and fit a self-exciting model to the trade arrivals. My analysis shows that the data does not fit Hawkes process, contradicting the blog post conclusion. In fact when I looked at the code at github, I found the task of adding random milliseconds missing. The sanitized dataset used after randomized addition is double the size of the original trades data. Clearly there is something wrong with the data.

Note: Bitcoin Trade Arrival Process

Even though the math in the blog post seems ok, the dataset and the analysis looks flawed. The conclusions are based on visual fit and we know how deceptive our eyes can be, sometimes. I have used Box-Ljung test and KS test and both of the tests reject any presence of self-exciting behavior.