Crypto price discovery through correlation networks

被引：65

作者：

Giudici, Paolo ^{[1
,2
]}

Polinesi, Gloria ^{[1
,2
]}

机构：

[1] Univ Pavia, Dept Econ, Via S Felice 5, I-27100 Pavia, PV, Italy

[2] Univ Politecn Marche, Dept Econ & Social Sci, Ancona, Italy

来源：

ANNALS OF OPERATIONS RESEARCH | 2021年 / 299卷 / 1-2期

基金：

欧盟地平线“2020”;

关键词：

Bitcoin exchanges; Bitcoin price discovery; Correlation networks; Minimum spanning trees; Random matrix theory;

D O I：

10.1007/s10479-019-03282-3

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We aim to understand the dynamics of crypto asset prices and, specifically, how price information is transmitted among different bitcoin market exchanges, and between bitcoin markets and traditional ones. To this aim, we hierarchically cluster bitcoin prices from different exchanges, as well as classic assets, by enriching the correlation based minimum spanning tree method with a preliminary filtering method based on the random matrix approach. Our main empirical findings are that: (i) bitcoin exchange prices are positively related with each other and, among them, the largest exchanges, such as Bitstamp, drive the prices; (ii) bitcoin exchange prices are not affected by classic asset prices, but their volatilities are, with a negative and lagged effect.

引用

页码：443 / 457

页数：15

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