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.
Centro de Investigaciones Ópticas - Materia
-
Física
Cryptocurrencies
Blockchain technology
High-frequency data
Complexity-entropy causality plane
Informational efficiency - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by-nc-sa/4.0/
- Repositorio
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/97950
Ver los metadatos del registro completo
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An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiersFernández Bariviera, AurelioZunino, Luciano JoséRosso, Osvaldo AníbalFísicaCryptocurrenciesBlockchain technologyHigh-frequency dataComplexity-entropy causality planeInformational efficiencyThis 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.Centro de Investigaciones Ópticas2018-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/97950enginfo:eu-repo/semantics/altIdentifier/url/https://ri.conicet.gov.ar/11336/89539info:eu-repo/semantics/altIdentifier/url/https://aip.scitation.org/doi/10.1063/1.5027153info:eu-repo/semantics/altIdentifier/issn/1054-1500info:eu-repo/semantics/altIdentifier/doi/10.1063/1.5027153info:eu-repo/semantics/altIdentifier/hdl/11336/89539info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by-nc-sa/4.0/Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:20:31Zoai:sedici.unlp.edu.ar:10915/97950Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:20:32.255SEDICI (UNLP) - Universidad Nacional de La Platafalse |
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 Física 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 |
Física Cryptocurrencies Blockchain technology High-frequency data Complexity-entropy causality plane Informational efficiency |
topic |
Física Cryptocurrencies Blockchain technology High-frequency data Complexity-entropy causality plane Informational efficiency |
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. Centro de Investigaciones Ópticas |
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 Articulo 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://sedici.unlp.edu.ar/handle/10915/97950 |
url |
http://sedici.unlp.edu.ar/handle/10915/97950 |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
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dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) |
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openAccess |
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http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) |
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