Department of Computer Science, University College London, London, United kingdom.
PLoS One. 2018 Apr 18;13(4):e0195200. doi: 10.1371/journal.pone.0195200. eCollection 2018.
Cryptocurrencies have experienced recent surges in interest and price. It has been discovered that there are time intervals where cryptocurrency prices and certain online and social media factors appear related. In addition it has been noted that cryptocurrencies are prone to experience intervals of bubble-like price growth. The hypothesis investigated here is that relationships between online factors and price are dependent on market regime. In this paper, wavelet coherence is used to study co-movement between a cryptocurrency price and its related factors, for a number of examples. This is used alongside a well-known test for financial asset bubbles to explore whether relationships change dependent on regime. The primary finding of this work is that medium-term positive correlations between online factors and price strengthen significantly during bubble-like regimes of the price series; this explains why these relationships have previously been seen to appear and disappear over time. A secondary finding is that short-term relationships between the chosen factors and price appear to be caused by particular market events (such as hacks / security breaches), and are not consistent from one time interval to another in the effect of the factor upon the price. In addition, for the first time, wavelet coherence is used to explore the relationships between different cryptocurrencies.
加密货币最近的兴趣和价格都出现了飙升。人们发现，在某些时间间隔内，加密货币价格与某些在线和社交媒体因素似乎存在关联。此外，人们还注意到，加密货币容易出现类似泡沫的价格增长期。本文研究的假设是，在线因素与价格之间的关系取决于市场状况。本文使用小波相干性来研究了多种加密货币价格与其相关因素之间的共同波动，同时使用一种著名的金融资产泡沫检验方法来探讨关系是否因制度而异。这项工作的主要发现是，在价格序列类似泡沫的时期，在线因素与价格之间的中期正相关关系显著增强；这解释了为什么这些关系以前会随着时间的推移而出现和消失。次要发现是，所选因素与价格之间的短期关系似乎是由特定的市场事件（如黑客攻击/安全漏洞）引起的，并且在因素对价格的影响方面，从一个时间间隔到另一个时间间隔并不一致。此外，本文首次使用小波相干性来探索不同加密货币之间的关系。
