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Nonextensive triplets in cryptocurrency exchanges

Darko Stosic, Dusan Stosic, Teresa B. Ludermir and Tatijana Stosic

Physica A: Statistical Mechanics and its Applications, 2018, vol. 505, issue C, 1069-1074

Abstract: Cryptocurrencies represent a new type of financial assets that are traded in a decentralized and transparent way. Recently, cryptocurrencies with large market capitalization (mostly Bitcoin) have been studied theoretically, but a deeper understanding of their underlying mechanisms remains elusive. Here we explore the nonextensivity of price changes for 20 cryptocurrency exchanges from 2013 until 2017. We discover nonextensive triplets in the cryptocurrency market, where the three associated values for Bitcoin are remarkably close to those of the logistic map near the edge of chaos. The current findings strongly indicate that the cryptocurrency market represents a system whose physics is properly described by nonextensive statistical mechanics. Our results shed light on the complex and volatile nature of cryptocurrencies, and establish the first formal link with the nonextensive theory.

Keywords: Non-extensive statistical mechanics; Cryptocurrency exchanges; Bitcoin; q-triplet (search for similar items in EconPapers)
Date: 2018
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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