Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors

Vladimir Soloviev and Andrey Belinskiy

Papers from arXiv.org

Abstract: This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of dynamic systems and the calculation of permutation entropy are used. It is shown that it is possible to construct dynamic measures of complexity, both recurrent and entropy, which behave in a proper way during actual pre-crisis periods. This fact is used to build predictors of crisis phenomena on the example of the main five crises recorded in the time series of the key cryptocurrency bitcoin, the effectiveness of the proposed indicators-precursors of crises has been identified.

Date: 2018-06, Revised 2018-07
New Economics Papers: this item is included in nep-hme and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.05837

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