6533b86efe1ef96bd12cb486
RESEARCH PRODUCT
Complexity traits and synchrony of cryptocurrencies price dynamics
Rodolfo BaggioRodolfo BaggioDavide Provenzanosubject
CryptocurrencyCryptocurrencyTime series0211 other engineering and technologies02 engineering and technologySynchronizationSettore SECS-P/06 - Economia ApplicataStability (probability)SynchronizationArticleSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Order (exchange)0202 electrical engineering electronic engineering information engineeringEconometricsC6PredictabilityC32D53Mathematics021103 operations researchSeries (mathematics)020208 electrical & electronic engineeringComplex networkVirtual currencyBITCOIN COMPLEX NETWORK ANALYSIS CRYPTOCURRENCY SYNCHRONIZATION TIME SERIESGeneral Economics Econometrics and FinanceComplex network analysisFinanceBitcoindescription
AbstractIn this study, we characterized the dynamics and analyzed the degree of synchronization of the time series of daily closing prices and volumes in US$ of three cryptocurrencies, Bitcoin, Ethereum, and Litecoin, over the period September 1,2015–March 31, 2020. Time series were first mapped into a complex network by the horizontal visibility algorithm in order to revel the structure of their temporal characters and dynamics. Then, the synchrony of the time series was investigated to determine the possibility that the cryptocurrencies under study co-bubble simultaneously. Findings reveal similar complex structures for the three virtual currencies in terms of number and internal composition of communities. To the aim of our analysis, such result proves that price and volume dynamics of the cryptocurrencies were characterized by cyclical patterns of similar wavelength and amplitude over the time period considered. Yet, the value of the slope parameter associated with the exponential distributions fitted to the data suggests a higher stability and predictability for Bitcoin and Litecoin than for Ethereum. The study of synchrony between the time series investigated displayed a different degree of synchronization between the three cryptocurrencies before and after a collapse event. These results could be of interest for investors who might prefer to switch from one cryptocurrency to another to exploit the potential opportunities of profit generated by the dynamics of price and volumes in the market of virtual currencies.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2021-02-16 | Decisions in Economics and Finance |