Shannon Entropy: An Econophysical Approach to Cryptocurrency Portfolios

【Author】 Rodriguez-Rodriguez, Noe; Miramontes, Octavio

【Source】ENTROPY

【影响因子】2.738

【Abstract】Cryptocurrency markets have attracted many interest for global investors because of their novelty, wide on-line availability, increasing capitalization, and potential profits. In the econophysics tradition, we show that many of the most available cryptocurrencies have return statistics that do not follow Gaussian distributions, instead following heavy-tailed distributions. Entropy measures are applied, showing that portfolio diversification is a reasonable practice for decreasing return uncertainty.

【Keywords】cryptocurrencies; econophysics; entropy; portfolio uncertainty; heavy-tailed distributions

【发表时间】2022 NOV

【收录时间】2022-11-30

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币