Cross-correlation dynamics and community structures of cryptocurrencies
Chaudhari, Harshal and Martin, CraneORCID: 0000-0001-7598-3126
(2020)
Cross-correlation dynamics and community structures of cryptocurrencies.
Journal of Computational Science, 44
.
ISSN 1877-7503
Cryptocurrencies have become a prominent investment tool recently with increasing interest in them and their relationships with stock and foreign exchange markets. We analyze here the cross-correlations of price changes of different cryptocurrencies using Random Matrix Theory and extract community structures by constructing minimum spanning trees, finding their eigenvalues contrast sharply with universal predictions of Random Matrix Theory. We reveal distinct transient community structures among different groupings of cryptocurrencies. By studying the cross-correlation dynamics of sub-communities we find evidence of collective behaviour. Furthermore, we compare eigenvalue changes and find prominent groupings following a community trend, useful for creating cryptocurrency portfolios.
Item Type:
Article (Published)
Refereed:
Yes
Additional Information:
Article number: 101130
Uncontrolled Keywords:
Cyptocurrency; Community structure; Correlation matrix; Random Matrix Theory
Science Foundation Ireland (SFI) under Grant Agreement No. 17/SP/5447, ADAPT SFI Centre for Digital Media Technology is funded by Science Foundation Ireland through the SFI Research Centres Programme and is co-funded under the European Regional Development Fund (ERDF) through Grant no. 13/RC/2106.
ID Code:
27511
Deposited On:
08 Aug 2022 15:47 by
Thomas Murtagh
. Last Modified 08 Aug 2022 15:47