An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane,...
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| Autores principales: | , , |
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| Formato: | Articulo |
| Lenguaje: | Inglés |
| Publicado: |
2018
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| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/97950 https://ri.conicet.gov.ar/11336/89539 https://aip.scitation.org/doi/10.1063/1.5027153 |
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| Sumario: | This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants. |
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