【Author】 Bedowska-Sojka, Barbara; Kliber, Agata; Rutkowska, Aleksandra
【Source】ENTROPY
【影响因子】2.738
【Abstract】We try to establish the commonalities and leadership in the cryptocurrency markets by examining the mutual information and lead-lag relationships between Bitcoin and other cryptocurrencies from January 2019 to June 2021. We examine the transfer entropy between volatility and liquidity of seven highly capitalized cryptocurrencies in order to determine the potential direction of information flow. We find that cryptocurrencies are strongly interrelated in returns and volatility but less in liquidity. We show that smaller and younger cryptocurrencies (such as Ripple's XRP or Litecoin) have started to affect the returns of Bitcoin since the beginning of the pandemic. Regarding liquidity, the results of the dynamic time warping algorithm also suggest that the position of Monero has increased. Those outcomes suggest the gradual increase in the role of privacy-oriented cryptocurrencies.
【Keywords】cryptocurrencies; mutual information; transfer entropy; dynamic time warping
【发表时间】2021 NOV
【收录时间】2022-01-01
【文献类型】
【主题类别】
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【DOI】 10.3390/e23111386
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