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

Aurelio F. Bariviera, Luciano Zunino, Osvaldo Rosso

Producción científica: Contribución a una revistaArtículo de revista revisión exhaustiva

55 Citas (Scopus)

Resumen

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).
Idioma originalEspañol
PublicaciónChaos
Volumen28
N.º7
DOI
EstadoPublicada - 1 jul. 2018
Publicado de forma externa

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