Cryptocurrency Market Consolidation in 2020--2021

Jaros{\l}aw Kwapie\'n, Marcin W\k{a}torek and Stanis{\l}aw Dro\.zd\.z

Papers from arXiv.org

Abstract: Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis of the minimal spanning trees calculated based on this matrix are applied for different positions of a moving window. The cryptocurrencies become more strongly cross-correlated among themselves than they used to be before. The average cross-correlations increase with time on a specific time scale in a way that resembles the Epps effect amplification when going from past to present. The minimal spanning trees also change their topology and, for the short time scales, they become more centralized with increasing maximum node degrees, while for the long time scales they become more distributed, but also more correlated at the same time. Apart from the inter-market dependencies, the detrended cross-correlations between the cryptocurrency market and some traditional markets, like the stock markets, commodity markets, and Forex, are also analyzed. The cryptocurrency market shows higher levels of cross-correlations with the other markets during the same turbulent periods, in which it is strongly cross-correlated itself.

Date: 2021-12
New Economics Papers: this item is included in nep-cwa and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Entropy 2021, 23(12), 1674

Downloads: (external link)
http://arxiv.org/pdf/2112.06552 Latest version (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:arx:papers:2112.06552

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().