![]() ![]() On the asset level, the fundamental aspects of the market processes that drive price discovery, price fluctuations, asset liquidity, and asset–asset correlations are studied from the investor’s perspective in order to facilitate the optimal portfolio construction both inside the cryptocurrency market and across different markets, including the cryptocurrency one. On the general level, the cryptocurrency markets are studied at an angle of trading security, the vulnerability to improper trading practices, and the formation of demand. Thus, a process of the market’s self-organization can be traced from the very beginning until the present.Īs the cryptocurrency market properties are constantly evolving and they are still far from being fully identified and understood, there is heavy ongoing related research that points in various directions (see, for example, for comprehensive literature listing and pointing out several significant research voids). The cryptocurrency market is an interesting object for analysis from the perspective of complex systems, as it is a unique financial market whose establishment and evolution was entirely spontaneous with no intervening government or other regulatory institution. Of particular interest in this context is how the ongoing pandemic is changing the cryptocurrency market and how this market position among the other financial and commodity markets undergoes an accelerated evolution. Each of these processes alone has already been a topic in numerous pieces of the scientific literature, but they also were studied together. ![]() Over the past few years, two processes have had a particularly strong impact on financial markets: the emergence of the cryptocurrency market and the COVID-19 pandemic. The cryptocurrency market shows higher levels of cross-correlations with the other markets during the same turbulent periods, in which it is strongly cross-correlated itself. Apart from the inter-market dependencies, the detrended cross-correlations between the cryptocurrency market and some traditional markets, like the stock markets, commodity markets, and Forex, are also analyzed. The minimal spanning trees also change their topology and, for the short time scales, they become more centralized with increasing maximum node degrees, while for the long time scales they become more distributed, but also more correlated at the same time. The average cross-correlations increase with time on a specific time scale in a way that resembles the Epps effect amplification when going from past to present. The cryptocurrencies become more strongly cross-correlated among themselves than they used to be before. A spectral analysis of the detrended correlation matrix and a topological analysis of the minimal spanning trees calculated based on this matrix are applied for different positions of a moving window. Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. ![]()
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