Complexity traits and synchrony of cryptocurrencies price dynamics

被引:0
|
作者
Davide Provenzano
Rodolfo Baggio
机构
[1] University of Palermo,Department of Economics, Business and Statistics (SEAS)
[2] Bocconi University,Master in Economics and Tourism and Dondena Center for Research on Social Dynamics and Public Policy
[3] Tomsk Polytechnic University,School of Core Engineering Education
来源
关键词
Cryptocurrency; Time series; Complex network analysis; Synchronization; Bitcoin; C32; D53; C6;
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学科分类号
摘要
In this study, we characterized the dynamics and analyzed the degree of synchronization of the time series of daily closing prices and volumes in US$ of three cryptocurrencies, Bitcoin, Ethereum, and Litecoin, over the period September 1,2015–March 31, 2020. Time series were first mapped into a complex network by the horizontal visibility algorithm in order to revel the structure of their temporal characters and dynamics. Then, the synchrony of the time series was investigated to determine the possibility that the cryptocurrencies under study co-bubble simultaneously. Findings reveal similar complex structures for the three virtual currencies in terms of number and internal composition of communities. To the aim of our analysis, such result proves that price and volume dynamics of the cryptocurrencies were characterized by cyclical patterns of similar wavelength and amplitude over the time period considered. Yet, the value of the slope parameter associated with the exponential distributions fitted to the data suggests a higher stability and predictability for Bitcoin and Litecoin than for Ethereum. The study of synchrony between the time series investigated displayed a different degree of synchronization between the three cryptocurrencies before and after a collapse event. These results could be of interest for investors who might prefer to switch from one cryptocurrency to another to exploit the potential opportunities of profit generated by the dynamics of price and volumes in the market of virtual currencies.
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页码:941 / 955
页数:14
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