Marcin Wątorek, Stanisław Drożdż, Jarosław Kwapień, Ludovico Minati, Paweł Oświęcimka, Marek Stanuszek
arXiv 29 Oct 2020 · Finance — Statistical Finance
arXiv:2010.15403 · PDF · OpenAlex · Extracted main text
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part surveys the analysis of cryptocurrency price changes on various platforms. The statistical properties of the fluctuations in the cryptocurrency market have been compared to the traditional markets. With the help of the latest statistical physics methods the non-linear correlations and multiscale characteristics of the cryptocurrency market are analyzed. In the last part the co-evolution of the correlation structure among the 100 cryptocurrencies having the largest capitalization is retraced. The detailed topology of cryptocurrency network on the Binance platform from bitcoin perspective is also considered. Finally, an interesting observation on the Covid-19 pandemic impact on the cryptocurrency market is presented and discussed: recently we have witnessed a "phase transition" of the cryptocurrencies from being a hedge opportunity for the investors fleeing the traditional markets to become a part of the global market that is substantially coupled to the traditional financial instruments like the currencies, stocks, and commodities. The main contribution is an extensive demonstration that structural self-organization in the cryptocurrency markets has caused the same to attain complexity characteristics that are nearly indistinguishable from the Forex market at the level of individual time-series. However, the cross-correlations between the exchange rates on cryptocurrency platforms differ from it. The cryptocurrency market is less synchronized and the information flows more slowly, which results in more frequent arbitrage opportunities. The methodology used in the review allows the latter to be detected, and lead-lag relationships to be discovered.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | R. Gebarowski, P. Oświecimka, M. Watorek, S. Drożdż, Detecting corre… (2019) http://dx.doi.org/doi:10.1007/s11071-019-05335-5 doi:doi:10.1007/s11071-019-05335-5 | 1.000 | 11 | 4 | 100% |
| 2 | M. Watorek, S. Drożdż, P. Oświecimka, M. Stanuszek, Multifractal cro… (2019) http://dx.doi.org/10.1016/j.eneco.2019.05.015 doi:10.1016/j.eneco.2019.05.015 | 1.000 | 7 | 3 | 100% |
| 3 | S. Drożdż, J. Kwapień, P. Oświecimka, R. Rak, The foreign exchange m… (2010) http://dx.doi.org/10.1088/1367-2630/12/10/105003 doi:10.1088/1367-2630/12/10/105003 | 1.000 | 6 | 3 | 100% |
| 4 | CoinMarketCap, https://coinmarketcap.com | 1.000 | 5 | 3 | 100% |
| 5 | J. Kwapień, S. Drożdż, Physical approach to complex systems, Physics… (2012) http://dx.doi.org/10.1016/j.physrep.2012.01.007 doi:10.1016/j.physrep.2012.01.007 | 1.000 | 5 | 3 | 100% |
| 6 | R. N. Mantegna, Hierarchical structure in financial markets, The Eur… (1999) http://dx.doi.org/10.1007/s100510050929 doi:10.1007/s100510050929 | 0.928 | 4 | 3 | 100% |
| 7 | S. Drożdż, L. Minati, P. Oświecimka, M. Stanuszek, M. Watorek, Signa… http://dx.doi.org/10.3390/fi11070154 doi:10.3390/fi11070154 | 0.928 | 4 | 3 | 100% |
| 8 | J. Kwapień, P. Oświecimka, S. Drożdż, Detrended fluctuation analysis… (2015) http://dx.doi.org/10.1103/PhysRevE.92.052815 doi:10.1103/PhysRevE.92.052815 | 0.874 | 8 | 2 | 100% |
| 9 | P. Oświecimka, S. Drożdż, M. Forczek, S. Jadach, J. Kwapień, Detrend… (2014) http://dx.doi.org/10.1103/PhysRevE.89.023305 doi:10.1103/PhysRevE.89.023305 | 0.874 | 7 | 2 | 100% |
| 10 | S. Drożdż, J. Kwapień, P. Oświecimka, R. Rak, Quantitative features… (2010) http://dx.doi.org/10.1209/0295-5075/88/60003 doi:10.1209/0295-5075/88/60003 | 0.874 | 6 | 2 | 100% |
Showing the top 10 of 227 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | 2607.13916 | 0.737 | 3 | 2 |