Early Warning Signals for Cryptocurrency Market States

Vishwas Kukreti

Papers from arXiv.org

Abstract: Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of cross correlation structure of cryptocurrencies in the 5 year period from 2017 to 2022. We observe characteristic correlation structures in the observation time window duration and use these specific structures to cluster the cryptocurrency market in 4 market states.

Date: 2022-11
New Economics Papers: this item is included in nep-pay
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