Study of the Behavior of Cryptocurrencies in Turbulent Times Using Association Rules

José Benito Hernández C., Andrés García-Medina and Miguel Andrés Porro V.
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José Benito Hernández C.: Unidad Monterrey, Centro de Investigación en Matemáticas, A.C. Av. Alianza Centro 502, PIIT, Apodaca 66628, Mexico
Andrés García-Medina: Unidad Monterrey, Centro de Investigación en Matemáticas, A.C. Av. Alianza Centro 502, PIIT, Apodaca 66628, Mexico
Miguel Andrés Porro V.: Facultad de Ciencias, Universidad Central de Venezuela, Av. Los Ilustres, Esc. de Matemática Piso 3, Los Chaguaramos, Caracas 1020, Venezuela

Mathematics, 2021, vol. 9, issue 14, 1-23

Abstract: We studied the effects of the recent financial turbulence of 2020 on the cryptocurrency market, taking into account both prices and volumes from December 2019 to July 2020. Time series were transformed into transaction matrices, and the Apriori algorithm was applied to find the association rules between different currencies, identifying whether the price or the volume of the currencies compose the rules. We divided the data set into two subsets and found that before the decline in cryptocurrency prices, the association rules were generally formed by these prices and that, then, the volumes of the transactions dominated to form the association rules.

Keywords: cryptocurrencies; association rules; Apriori algorithm; time series (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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