EconPapers    
Economics at your fingertips  
 

Cryptocurrency market structure: connecting emotions and economics

Tomaso Aste ()
Additional contact information
Tomaso Aste: UCL

Digital Finance, 2019, vol. 1, issue 1, 5-21

Abstract: Abstract I study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018. This is the first study of the whole cryptocurrency market structure. It introduces several rigorous innovative methodologies applicable to this and to several other complex systems where a large number of variables interact in a non-linear way, which is a distinctive feature of the digital economy. The analysis of the dependency structure reveals that prices are significantly correlated with sentiment. The major, most capitalised cryptocurrencies, such as bitcoin, have a central role in the price correlation network but only a marginal role in the sentiment network and in the network describing the interactions between the two. The study of the causality structure reveals a causality network that is consistently related with the correlation structures and shows that both prices cause sentiment and sentiment cause prices across currencies with the latter being stronger in size but smaller in number of significative interactions. Overall this study uncovers a complex and rich structure of interrelations where prices and sentiment influence each other both instantaneously and with lead–lag causal relations. A major finding is that minor currencies, with small capitalisation, play a crucial role in shaping the overall dependency and causality structure. Despite the high level of noise and the short time-series I verified that these networks are significant with all links statistically validated and with a structural organisation consistently reproduced across all networks.

Keywords: Cryptocurrencies; Dependency; Causality; Networks (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s42521-019-00008-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00008-9

Ordering information: This journal article can be ordered from
https://www.springer.com/finance/journal/42521

Access Statistics for this article

Digital Finance is currently edited by Wolfgang Karl Härdle, Steven Kou and Min Dai

More articles in Digital Finance from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-11-10
Handle: RePEc:spr:digfin:v:1:y:2019:i:1:d:10.1007_s42521-019-00008-9