Dependency Structures in Cryptocurrency Market from High to Low Frequency

【Author】 Briola, Antonio; Aste, Tomaso

【Source】ENTROPY

【影响因子】2.738

【Abstract】We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance and economic meaningfulness of the networks. Results give a deep insight into the evolutionary process of the time dependent hierarchical organization of the system under analysis. A decrease in correlation between pairs of cryptocurrencies is observed for finer time sampling resolutions. A growing structure emerges for coarser ones, highlighting multiple changes in the hierarchical reference role played by mainstream cryptocurrencies. This effect is studied both in its pairwise realizations and intra-sector ones.

【Keywords】complex systems; network science; econophysics; economics; financial markets; cryptocurrencies

【发表时间】2022 NOV

【收录时间】2022-12-08

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析