Universality and Heterogeneity of Stylized Facts in Cryptocurrency and Equity Markets

Jaesung Kim, Changhee Cho and Jae Woo Lee

Papers from arXiv.org

Abstract: This study investigates whether the macroscopic statistical maturity of cryptocurrencies implies dynamical equivalence with an equity-market benchmark. We analyze one-minute data (2020--2025) for Bitcoin, Ethereum, XRP, and E-mini S\&P~500 futures using the Complexity--Entropy Causality Plane (CECP) and directed horizontal visibility graphs (DHVG). While conventional stylized facts overlap across the analyzed assets, cryptocurrencies exhibit weaker local ordinal organization and a larger divergence between their high-degree in- and out-visibility distributions relative to matched surrogate baselines under the primary specification. This high-degree separation is strongest at the one-minute scale and weakens under 5- and 10-minute aggregation, while the direction of the underlying asymmetry remains more asset- and preprocessing-dependent. We therefore conclude only that macroscopic similarity can coexist with diagnostic-specific structural differences in the assets and period examined.

Date: 2026-08, Revised 2026-09
New Economics Papers: this item is included in nep-fmk and nep-pay
References: Add references at CitEc
Citations:

Downloads: (external link)
https://arxiv.org/pdf/2608.10852 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:2608.10852

Access Statistics for this paper

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