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
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/89539
Acceder
id CONICETDig_7c7af608dbb03e8c8aeb37743961db97
oai_identifier_str oai:ri.conicet.gov.ar:11336/89539
network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling 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 Técnicas2025-10-22T11:42:46Zoai: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:34982025-10-22 11:42:46.86CONICET 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
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1846782116590780416
score 12.982451

Publicaciones similares