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

Aurelio F. Bariviera; Luciano Zunino; Osvaldo Rosso

doi:10.1063/1.5027153

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

Aurelio F. Bariviera, Luciano Zunino, Osvaldo Rosso

Research output: Contribution to journal › Article in a journal › peer-review

57 Scopus citations

Abstract

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. © 2018 Author(s).

Original language	Spanish
Journal	Chaos
Volume	28
Issue number	7
DOIs	https://doi.org/10.1063/1.5027153
State	Published - 1 Jul 2018
Externally published	Yes

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1063/1.5027153

Cite this

@article{650224b593e34acca4f8154ede9bbbac,

title = "An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers",

abstract = "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. {\textcopyright} 2018 Author(s).",

author = "Bariviera, {Aurelio F.} and Luciano Zunino and Osvaldo Rosso",

year = "2018",

month = jul,

day = "1",

doi = "10.1063/1.5027153",

language = "Espa{\~n}ol",

volume = "28",

journal = "Chaos",

issn = "1054-1500",

publisher = "American Institute of Physics",

number = "7",

}

TY - JOUR

T1 - An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers

AU - Bariviera, Aurelio F.

AU - Zunino, Luciano

AU - Rosso, Osvaldo

PY - 2018/7/1

Y1 - 2018/7/1

N2 - 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. © 2018 Author(s).

AB - 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. © 2018 Author(s).

U2 - 10.1063/1.5027153

DO - 10.1063/1.5027153

M3 - Artículo de revista

SN - 1054-1500

VL - 28

JO - Chaos

JF - Chaos

IS - 7

ER -