An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers

被引：63

作者：

Bariviera, Aurelio F. ^{[1
,2
]}

Zunino, Luciano ^{[3
,4
]}

Rosso, Osvaldo A. ^{[5
,6
,7
,8
]}

机构：

[1] Univ Rovira & Virgili, Dept Business, Av Univ 1, Reus 43204, Spain

[2] Univ Pacifico, Lima, Peru

[3] CONICET La Plata, CIC, CC 3, RA-1897 Gonnet, Argentina

[4] UNLP, Fac Ingn, Dept Ciencias Basicas, RA-1900 La Plata, Argentina

[5] Hosp Italiano Buenos Aires, Dept Informat Salud, C1199ABB, Buenos Aires, DF, Argentina

[6] Consejo Nacl Invest Cient & Tecn, C1199ABB, Buenos Aires, DF, Argentina

[7] Univ Fed Alagoas, Inst Fis, Av Lourival Melo Mota S-N, BR-57072970 Maceio, Alagoas, Brazil

[8] Univ Los Andes, Fac Ingn & Ciencias Aplicadas, Complex Syst Grp, Santiago 12455, Chile

来源：

CHAOS | 2018年 / 28卷 / 07期

关键词：

STATISTICAL COMPLEXITY; ENTROPY; MARKET; EFFICIENCY; INEFFICIENCY; TOMORROW;

D O I：

10.1063/1.5027153

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months' boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants. Published by AIP Publishing.

引用

页数：7

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