Related papers: Cryptocurrency Market Consolidation in 2020--2021
This paper presents a large-scale analysis of the cryptocurrency community on Reddit, shedding light on the intricate relationship between the evolution of their activity, emotional dynamics, and price movements. We analyze over 130M posts…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market behavior and classifies the 40 studied…
We present here a topological characterization of the minimal spanning tree that can be obtained by considering the price return correlations of stocks traded in a financial market. We compare the minimal spanning tree obtained from a large…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
We develop an analysis of the cryptocurrency market borrowing methods and concepts from ecology. This approach makes it possible to identify specific diversity patterns and their variation, in close analogy with ecological systems, and to…
Cryptocurrencies are digital tokens built on blockchain technology, with thousands actively traded on centralized exchanges (CEXs). Unlike stocks, which are backed by real businesses, cryptocurrencies are recognized as a distinct class of…
We study the time dependence of maximal spanning trees and asset graphs based on correlation matrices of stock returns. In these networks the nodes represent companies and links are related to the correlation coefficients between them.…
Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide online availability, increasing capitalization and potential profits. In the econophysics tradition we show that many of the most…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
In this paper we analyse the effects of information flows in cryptocurrency markets. We first define a cryptocurrency trading network, i.e. the network made using cryptocurrencies as nodes and the Granger causality among their weekly log…
As cryptocurrencies gain popularity and credibility, marketplaces for cryptocurrencies are growing in importance. Understanding the dynamics of these markets can help to assess how viable the cryptocurrnency ecosystem is and how design…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
Cryptocurrency network analysis consists of applying the tools and methods of social network analysis to transactional data issued from cryptocurrencies. The main difference with most online social networks is that users do not exchange…
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…
The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the…