Competition of noise and collectivity in global cryptocurrency trading: route to a self-contained market
Authors:
- Stanisław Drożdż,
- Ludovico Minati,
- Paweł Oświęcimka,
- Marek Stanuszek,
- Marcin Wątorek
Abstract
Cross correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015–March 31, 2019 are studied. The corresponding dynamics predominantly involve one leading eigenvalue of the correlation matrix, while the others largely coincide with those of Wishart random matrices. However, the magnitude of the principal eigenvalue, and thus the degree of collectivity, strongly depends on which cryptocurrency is used as a base. It is largest when the base is the most peripheral cryptocurrency; when more significant ones are taken into consideration, its magnitude systematically decreases, nevertheless preserving a sizable gap with respect to the random bulk, which in turn indicates that the organization of correlations becomes more heterogeneous. This finding provides a criterion for recognizing which currencies or cryptocurrencies play a dominant role in the global cryptomarket. The present study shows that over the period under consideration, the Bitcoin (BTC) predominates, hallmarking exchange rate dynamics at least as influential as the U.S. dollar (USD). Even more, the BTC started dominating around the year 2017, while other cryptocurrencies, such as the Ethereum and even Ripple, assumed similar trends. At the same time, the USD, an original value determinant for the cryptocurrency market, became increasingly disconnected, and its related characteristics eventually started approaching those of a fictitious currency. These results are strong indicators of incipient independence of the global cryptocurrency market, delineating a self-contained trade resembling the Forex.
- Record ID
- CUT78cca4aa57c64bef905618268644ce52
- Publication categories
- ;
- Author
- Journal series
- Chaos: An Interdisciplinary Journal of Nonlinear Science, ISSN 1054-1500, e-ISSN 1089-7682
- Issue year
- 2020
- Vol
- 30
- No
- 2
- Pages
- [1-8]
- Article number
- 023122
- Other elements of collation
- schem.; wykr.; Bibliografia (na s.) - 7-8; Bibliografia (liczba pozycji) - 40; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 30, Iss. 2
- Keywords in Polish
- kryptowaluty, macierz korelacji, kolektywność, szum
- Keywords in English
- cryptocurrencies, correlation matrix, collectivity, noise
- DOI
- DOI:10.1063/1.5139634 Opening in a new tab
- URL
- https://aip.scitation.org/doi/full/10.1063/1.5139634 Opening in a new tab
- Language
- eng (en) English
- Score (nominal)
- 140
- Publication indicators
- Citation count
- 47
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT78cca4aa57c64bef905618268644ce52/
- URN
urn:pkr-prod:CUT78cca4aa57c64bef905618268644ce52
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.