Articles producció científica> Gestió d'Empreses

An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers

  • Identification data

    Identifier: imarina:9187316
    Authors:
    Bariviera, Aurelio FZunino, LucianoRosso, Osvaldo A
    Abstract:
    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.
  • Others:

    Author, as appears in the article.: Bariviera, Aurelio F; Zunino, Luciano; Rosso, Osvaldo A
    Department: Gestió d'Empreses
    URV's Author/s: Fernández Bariviera, Aurelio
    Keywords: Time series analysis Information theory Econophysics Cryptocurrencies Complexity-entropy causality plane
    Abstract: 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.
    Thematic Areas: Statistical and nonlinear physics Physics, mathematical Physics and astronomy (miscellaneous) Physics and astronomy (all) Medicine (miscellaneous) Medicina veterinaria Medicina ii Mathematics, applied Mathematical physics Matemática / probabilidade e estatística Interdisciplinar Geociências General physics and astronomy Engenharias iv Engenharias iii Engenharias ii Engenharias i Ciências ambientais Ciência da computação Astronomia / física Applied mathematics
    Author's mail: aurelio.fernandez@urv.cat
    Author identifier: 0000-0003-1014-1010
    Record's date: 2025-03-08
    Paper version: info:eu-repo/semantics/acceptedVersion
    Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
    Paper original source: Chaos. 28 (7): 75511-
    APA: Bariviera, Aurelio F; Zunino, Luciano; Rosso, Osvaldo A (2018). An analysis of high-frequency cryptocurrencies prices dynamics using permutation-information-theory quantifiers. Chaos, 28(7), 75511- . DOI: 10.1063/1.5027153
    Entity: Universitat Rovira i Virgili
    Journal publication year: 2018
    Publication Type: Journal Publications
  • Keywords:

    Applied Mathematics,Mathematical Physics,Mathematics, Applied,Medicine (Miscellaneous),Physics and Astronomy (Miscellaneous),Physics, Mathematical,Statistical and Nonlinear Physics
    Time series analysis
    Information theory
    Econophysics
    Cryptocurrencies
    Complexity-entropy causality plane
    Statistical and nonlinear physics
    Physics, mathematical
    Physics and astronomy (miscellaneous)
    Physics and astronomy (all)
    Medicine (miscellaneous)
    Medicina veterinaria
    Medicina ii
    Mathematics, applied
    Mathematical physics
    Matemática / probabilidade e estatística
    Interdisciplinar
    Geociências
    General physics and astronomy
    Engenharias iv
    Engenharias iii
    Engenharias ii
    Engenharias i
    Ciências ambientais
    Ciência da computação
    Astronomia / física
    Applied mathematics
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