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Dependency structures in cryptocurrency market from high to low frequency

Briola, Antonio and Aste, Tomaso (2022) Dependency structures in cryptocurrency market from high to low frequency. Entropy, 24 (11). ISSN 1099-4300

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Identification Number: 10.3390/e24111548

Abstract

We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance and economic meaningfulness of the networks. Results give a deep insight into the evolutionary process of the time dependent hierarchical organization of the system under analysis. A decrease in correlation between pairs of cryptocurrencies is observed for finer time sampling resolutions. A growing structure emerges for coarser ones, highlighting multiple changes in the hierarchical reference role played by mainstream cryptocurrencies. This effect is studied both in its pairwise realizations and intra-sector ones.

Item Type: Article
Additional Information: © 2022 The Author(s).
Divisions: LSE
Systemic Risk Centre
Date Deposited: 23 Nov 2022 15:27
Last Modified: 29 Feb 2024 07:33
URI: http://eprints.lse.ac.uk/id/eprint/117410

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