Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time
arXiv:2107.13926 · doi:10.1007/s11071-021-07166-9
Abstract
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 identify regimes in market correlation. Next, we inspect the relationship between collective dynamics and the cryptocurrency market size - revealing an inverse relationship between the size of the market and the strength of collective dynamics. We then explore the time-varying consistency of the relationships between cryptocurrencies' size and their returns and volatility. There, we demonstrate that there is greater consistency between size and volatility than size and returns. Finally, we study the spread of volatility behaviours across the market changing with time by examining the structure of Wasserstein distances between probability density functions of rolling volatility. We demonstrate a new phenomenon of increased uniformity in volatility during market crashes, which we term \emph{volatility dispersion}.
Final version. Moderate edits since v1. Equal contribution
References in corpus (13)
- Some stylized facts of the Bitcoin market
- Multiscale characteristics of the emerging global cryptocurrency market
- Collective behavior of stock price movements in an emerging market
- COVID-19 second wave mortality in Europe and the United States
- Signatures of crypto-currency market decoupling from the Forex
- Competition of noise and collectivity in global cryptocurrency trading: route to a self-contained market
- Financial Return Distributions: Past, Present, and COVID-19
- COVID-19 in the United States: Trajectories and second surge behavior
- Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19
- Trends in COVID-19 prevalence and mortality: a year in review
- Association between COVID-19 cases and international equity indices
- Decay of distance autocorrelation and Lyapunov exponents
- A new measure between sets of probability distributions with applications to erratic financial behavior
Cited by in corpus (7)
- Economic state classification and portfolio optimisation with application to stagflationary environments
- Global and regional changes in carbon dioxide emissions: 1970-2019
- Spatio-temporal trends in the propagation and capacity of low-carbon hydrogen projects
- In search of peak human athletic potential: A mathematical investigation
- Distributional trends in the generation and end-use sector of low-carbon hydrogen plants
- Collective infectivity of the pandemic over time and association with vaccine coverage and economic development
- On financial market correlation structures and diversification benefits across and within equity sectors