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

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,...

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Detalles Bibliográficos
Autores principales: Fernández Bariviera, Aurelio, Zunino, Luciano José, Rosso, Osvaldo Aníbal
Formato: Articulo
Lenguaje:Inglés
Publicado: 2018
Materias:
Física
Cryptocurrencies
Blockchain technology
High-frequency data
Complexity-entropy causality plane
Informational efficiency
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/97950
https://ri.conicet.gov.ar/11336/89539
https://aip.scitation.org/doi/10.1063/1.5027153
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-97950
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Física
Cryptocurrencies
Blockchain technology
High-frequency data
Complexity-entropy causality plane
Informational efficiency
spellingShingle Física
Cryptocurrencies
Blockchain technology
High-frequency data
Complexity-entropy causality plane
Informational efficiency
Fernández Bariviera, Aurelio
Zunino, Luciano José
Rosso, Osvaldo Aníbal
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
topic_facet Física
Cryptocurrencies
Blockchain technology
High-frequency data
Complexity-entropy causality plane
Informational efficiency
description 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.
format Articulo
Articulo
author Fernández Bariviera, Aurelio
Zunino, Luciano José
Rosso, Osvaldo Aníbal
author_facet Fernández Bariviera, Aurelio
Zunino, Luciano José
Rosso, Osvaldo Aníbal
author_sort Fernández Bariviera, Aurelio
title An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
title_short An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
title_full An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
title_fullStr An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
title_full_unstemmed An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
title_sort analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/97950
https://ri.conicet.gov.ar/11336/89539
https://aip.scitation.org/doi/10.1063/1.5027153
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