An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers
- Autores
- Fernández Bariviera, Aurelio; Zunino, Luciano José; Rosso, Osvaldo Aníbal
- Año de publicación
- 2018
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants.
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España. Universidad del Pacifico, Lima; Perú
Fil: Zunino, Luciano José. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina
Fil: Rosso, Osvaldo Aníbal. Universidad de Los Andes, Santiago; Chile. Universidade Federal de Alagoas; Brasil. Instituto Universitario del Hospital Italiano de Buenos Aires; Argentina - Materia
-
CRYPTOCURRENCIES
BLOCKCHAIN TECHNOLOGY
HIGH-FREQUENCY DATA
COMPLEXITY-ENTROPY CAUSALITY PLANE
INFORMATIONAL EFFICIENCY - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
- Repositorio
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/89539
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An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiersFernández Bariviera, AurelioZunino, Luciano JoséRosso, Osvaldo AníbalCRYPTOCURRENCIESBLOCKCHAIN TECHNOLOGYHIGH-FREQUENCY DATACOMPLEXITY-ENTROPY CAUSALITY PLANEINFORMATIONAL EFFICIENCYhttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants.Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España. Universidad del Pacifico, Lima; PerúFil: Zunino, Luciano José. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; ArgentinaFil: Rosso, Osvaldo Aníbal. Universidad de Los Andes, Santiago; Chile. Universidade Federal de Alagoas; Brasil. Instituto Universitario del Hospital Italiano de Buenos Aires; ArgentinaAmerican Institute of Physics2018-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/89539Fernández Bariviera, Aurelio; Zunino, Luciano José; Rosso, Osvaldo Aníbal; An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers; American Institute of Physics; Chaos; 28; 7; 7-2018; 0755111054-1500CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1063/1.5027153info:eu-repo/semantics/altIdentifier/url/https://aip.scitation.org/doi/10.1063/1.5027153info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:12:54Zoai:ri.conicet.gov.ar:11336/89539instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:12:55.218CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
dc.title.none.fl_str_mv |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
title |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
spellingShingle |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers Fernández Bariviera, Aurelio CRYPTOCURRENCIES BLOCKCHAIN TECHNOLOGY HIGH-FREQUENCY DATA COMPLEXITY-ENTROPY CAUSALITY PLANE INFORMATIONAL EFFICIENCY |
title_short |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
title_full |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
title_fullStr |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
title_full_unstemmed |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
title_sort |
An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers |
dc.creator.none.fl_str_mv |
Fernández Bariviera, Aurelio Zunino, Luciano José Rosso, Osvaldo Aníbal |
author |
Fernández Bariviera, Aurelio |
author_facet |
Fernández Bariviera, Aurelio Zunino, Luciano José Rosso, Osvaldo Aníbal |
author_role |
author |
author2 |
Zunino, Luciano José Rosso, Osvaldo Aníbal |
author2_role |
author author |
dc.subject.none.fl_str_mv |
CRYPTOCURRENCIES BLOCKCHAIN TECHNOLOGY HIGH-FREQUENCY DATA COMPLEXITY-ENTROPY CAUSALITY PLANE INFORMATIONAL EFFICIENCY |
topic |
CRYPTOCURRENCIES BLOCKCHAIN TECHNOLOGY HIGH-FREQUENCY DATA COMPLEXITY-ENTROPY CAUSALITY PLANE INFORMATIONAL EFFICIENCY |
purl_subject.fl_str_mv |
https://purl.org/becyt/ford/1.3 https://purl.org/becyt/ford/1 |
dc.description.none.fl_txt_mv |
This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants. Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España. Universidad del Pacifico, Lima; Perú Fil: Zunino, Luciano José. Universidad Nacional de La Plata; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Centro de Investigaciones Ópticas. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Centro de Investigaciones Ópticas. Universidad Nacional de La Plata. Centro de Investigaciones Ópticas; Argentina Fil: Rosso, Osvaldo Aníbal. Universidad de Los Andes, Santiago; Chile. Universidade Federal de Alagoas; Brasil. Instituto Universitario del Hospital Italiano de Buenos Aires; Argentina |
description |
This paper discusses the dynamics of intraday prices of 12 cryptocurrencies during the past months´ boom and bust. The importance of this study lies in the extended coverage of the cryptoworld, accounting for more than 90% of the total daily turnover. By using the complexity-entropy causality plane, we could discriminate three different dynamics in the data set. Whereas most of the cryptocurrencies follow a similar pattern, there are two currencies (ETC and ETH) that exhibit a more persistent stochastic dynamics, and two other currencies (DASH and XEM) whose behavior is closer to a random walk. Consequently, similar financial assets, using blockchain technology, are differentiated by market participants. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-07 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/89539 Fernández Bariviera, Aurelio; Zunino, Luciano José; Rosso, Osvaldo Aníbal; An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers; American Institute of Physics; Chaos; 28; 7; 7-2018; 075511 1054-1500 CONICET Digital CONICET |
url |
http://hdl.handle.net/11336/89539 |
identifier_str_mv |
Fernández Bariviera, Aurelio; Zunino, Luciano José; Rosso, Osvaldo Aníbal; An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers; American Institute of Physics; Chaos; 28; 7; 7-2018; 075511 1054-1500 CONICET Digital CONICET |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/doi/10.1063/1.5027153 info:eu-repo/semantics/altIdentifier/url/https://aip.scitation.org/doi/10.1063/1.5027153 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
American Institute of Physics |
publisher.none.fl_str_mv |
American Institute of Physics |
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CONICET Digital (CONICET) |
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Consejo Nacional de Investigaciones Científicas y Técnicas |
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CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
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