Drożdż Stanisław, Kwapień Jarosław, Wątorek Marcin
Faculty of Computer Science and Telecommunications, Cracow University of Technology, ul. Warszawska 24, 31-155 Kraków, Poland.
Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland.
Entropy (Basel). 2023 May 9;25(5):772. doi: 10.3390/e25050772.
In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the multidimensional trajectory of its development since inception up to the present time. Several main characteristics commonly recognized as financial stylized facts of mature markets were quantitatively studied here. In particular, it is shown that the return distributions, volatility clustering effects, and even temporal multifractal correlations for a few highest-capitalization cryptocurrencies largely follow those of the well-established financial markets. The smaller cryptocurrencies are somewhat deficient in this regard, however. They are also not as highly cross-correlated among themselves and with other financial markets as the large cryptocurrencies. Quite generally, the volume impact on price changes appears to be much stronger on the cryptocurrency market than in the mature stock markets, and scales as R(V)∼Vα with α≳1.
与传统金融市场相比，加密货币市场是一项新兴事物，其所有组成部分的交易动态都易于记录和存储。这一事实为追踪其自创立以来直至当前的多维发展轨迹提供了独特的机会。本文对一些通常被视为成熟市场金融典型事实的主要特征进行了定量研究。具体而言，研究表明，几种市值最高的加密货币的收益分布、波动聚集效应，甚至时间多重分形相关性在很大程度上与成熟金融市场相似。然而，较小的加密货币在这方面略显不足。它们之间以及与其他金融市场的交叉相关性也不如大型加密货币那么高。总体而言，加密货币市场上交易量对价格变化的影响似乎比成熟股票市场更为强烈，且规模为R(V)∼Vα，其中α≳1。
