Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time

【Author】 James, Nick; Menzies, Max

【Source】NONLINEAR DYNAMICS

【影响因子】5.741

【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 volatility dispersion.

【Keywords】Cryptocurrency; Time series analysis; Nonlinear dynamics; Correlations; Collective behaviours

【发表时间】

【收录时间】2022-01-09

【文献类型】期刊

【主题类别】

区块链治理--