Related papers: Pairwise and high-order dependencies in the crypto…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
Cryptocurrencies return cross-predictability and technological similarity yield information on risk propagation and market segmentation. To investigate these effects, we build a time-varying network for cryptocurrencies, based on the…
This paper identifies the cryptocurrency market crashes and analyses its dynamics using the complex network. We identify three distinct crashes during 2017-20, and the analysis is carried out by dividing the time series into pre-crash,…
The number of users approaching the world of cryptocurrencies exploded in the last years, and consequently the daily interactions on their underlying distributed ledgers have intensified. In this paper, we analyze the flow of these digital…
Networks provide a powerful formalism for modeling complex systems by using a model of pairwise interactions. But much of the structure within these systems involves interactions that take place among more than two nodes at once; for…
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…
Empirical complex systems can be characterized not only by pairwise interactions, but also by higher-order (group) interactions influencing collective phenomena, from metabolic reactions to epidemics. Nevertheless, higher-order networks'…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
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…
We examine how skewness interacts with kurtosis within the cryptocurrency market. We show that during the COVID-19 pandemic there are more clusters of observations around the two flanks, highlighting the presence of a volatile behavior.…
Cryptocurrencies have gained popularity across various sectors, especially in finance and investment. Despite their growing popularity, cryptocurrencies can be a high-risk investment due to their price volatility. The inherent volatility in…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the…
The availability of data on digital traces is growing to unprecedented sizes, but inferring actionable knowledge from large-scale data is far from being trivial. This is especially important for computational finance, where digital traces…
Information transfer between time series is calculated by using the asymmetric information-theoretic measure known as transfer entropy. Geweke's autoregressive formulation of Granger causality is used to find linear transfer entropy, and…
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and…
When exposed to a contagion phenomenon, individuals may respond to the perceived risk of infection by adopting behavioral changes, aiming to reduce their exposure or their risk of infecting others. The social cost of such adaptive behaviors…
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…
Network analysis of inter-industry payment flows reveals structural economic relationships invisible to traditional bilateral measurement approaches, with significant implications for real-time economic monitoring. Analysing 532,346 UK…
When real networks are considered, coupled networks with connectivity and feedback-dependency links are not rare but more general. Here we develop a mathematical framework and study numerically and analytically percolation of interacting…