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
Repositori URV