Stocks and cryptocurrencies: Antifragile or robust? A novel antifragility measure of the stock and cryptocurrency markets
Darío Alatorre,
Carlos Gershenson and
José L Mateos
PLOS ONE, 2023, vol. 18, issue 3, 1-21
Abstract:
In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of antifragility for complex dynamical systems. In this work we use our antifragility measure to analyze real data from return prices in the stock and cryptocurrency markets. Our definition of antifragility is the product of the return price and a perturbation. We explore different types of perturbations that typically arise from within the system. Our results suggest that for both the stock market and the cryptocurrency market, the tendency among the ‘top performers’ is to be robust rather than antifragile. It would be important to explore other possible definitions of antifragility to understand its role in financial markets and in complex dynamical systems in general.
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0280487 (text/html)
https://journals.plos.org/plosone/article/file?id= ... 80487&type=printable (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0280487
DOI: 10.1371/journal.pone.0280487
Access Statistics for this article
More articles in PLOS ONE from Public Library of Science
Bibliographic data for series maintained by plosone ().