Related papers: Critical slowing down associated with critical tra…
We analyze the time series of four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital market crash at the end of 2017 - beginning 2018. We introduce a methodology that combines topological data analysis with…
We model the dynamics of the cryptocurrency (CC) asset class via a stochastic volatility with correlated jumps (SVCJ) model with rolling-window parameter estimates. By analyzing the time-series of parameters, stylized patterns are…
We consider stochastic electro-mechanical dynamics of an overdamped power system in the vicinity of the saddle-node bifurcation associated with the loss of global stability such as voltage collapse or phase angle instability. Fluctuations…
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of…
This paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets…
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one side, and the instruments representing the traditional…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
The use of critical slowing down as an early warning indicator for regime switching in observations from stochastic environments and noisy dynamical models has been widely studied and implemented in recent years. Some systems, however, have…
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…
Thanks to the high potential for profit, trading has become increasingly attractive to investors as the cryptocurrency and stock markets rapidly expand. However, because financial markets are intricate and dynamic, accurately predicting…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
Bifurcations can cause dynamical systems with slowly varying parameters to transition to far-away attractors. The terms ``critical transition'' or ``tipping point'' have been used to describe this situation. Critical transitions have been…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 31, 2019, are studied. The corresponding dynamics…
The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger…
Critical slowing down (CSD) has been a trademark of critical dynamics for equilibrium phase transitions of a many-body system, where the relaxation time for the system to reach thermal equilibrium or quantum ground state diverges with…
The `Black Thursday' crisis in cryptocurrency markets demonstrated deleveraging risks in over-collateralized non-custodial stablecoins. We develop a stochastic model that helps explain deleveraging crises in these over-collateralized…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…