Testing for herding in the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2019.06.008
Abstract: Abstract The study investigates whether herding behavior is present in the rapidly emerging cryptocurrency market. By analyzing daily data from major cryptocurrencies during the period August 2015 to December 2018, we find evidence that investors… read more here.
Keywords: finance; herding cryptocurrency; testing herding; market ... See more keywords
Emotional trading in the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2020 at "Finance Research Letters"
DOI: 10.1016/j.frl.2020.101912
Abstract: Abstract We quantify the emotional factors inherited in 2,050,280 posts on Bitcointalk.org and investigate the impact of emotion on Bitcoin price fluctuations. Future Bitcoin returns are not associated with emotional factors, but Bitcoin trading volume… read more here.
Keywords: emotional trading; trading; market; finance ... See more keywords
Clustering patterns in efficiency and the coming-of-age of the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2019 at "Scientific Reports"
DOI: 10.1038/s41598-018-37773-3
Abstract: The efficient market hypothesis has far-reaching implications for financial trading and market stability. Whether or not cryptocurrencies are informationally efficient has therefore been the subject of intense recent investigation. Here, we use permutation entropy and… read more here.
Keywords: time; market; coming age; cryptocurrency market ... See more keywords
Some stylized facts of the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2018 at "Applied Economics"
DOI: 10.1080/00036846.2018.1488076
Abstract: ABSTRACT We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of… read more here.
Keywords: facts cryptocurrency; cryptocurrency market; stylized facts;
The price and liquidity impact of China forbidding initial coin offerings on the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2020 at "Applied Economics Letters"
DOI: 10.1080/13504851.2020.1713979
Abstract: ABSTRACT In this article, we empirically examine the cryptocurrency market reaction to china prohibiting initial coin offerings, on the 4 September 2007 for the 100 largest cryptocurrencies. The announcement has a significant negative but temporary… read more here.
Keywords: coin offerings; china; cryptocurrency; cryptocurrency market ... See more keywords
Testing macroecological theories in cryptocurrency market: neutral models cannot describe diversity patterns and their variation
Sign Up to like & getrecommendations! Published in 2022 at "Royal Society Open Science"
DOI: 10.1098/rsos.212005
Abstract: We develop an analysis of the cryptocurrency market borrowing methods and concepts from ecology. This approach makes it possible to identify specific diversity patterns and their variation, in close analogy with ecological systems, and to… read more here.
Keywords: neutral models; diversity patterns; patterns variation; market ... See more keywords
Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2025 at "Physical review. E"
DOI: 10.1103/v7cl-h7xr
Abstract: Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the q-dependent detrended cross-correlation coefficient ρ(q,s). By extending traditional metrics, this approach captures correlations… read more here.
Keywords: cryptocurrency market; filtering amplitude; correlation; complex systems ... See more keywords
Pair trading with high-frequency data in the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2025 at "China Finance Review International"
DOI: 10.1108/cfri-11-2024-0727
Abstract: PurposeThis study examines the performance of pair trading strategy in the cryptocurrency market under three statistical approaches including distance, cointegration and a hybrid method combining both distance and cointegration approaches.Design/methodology/approachThe research uses daily, 4-h, 1-h,… read more here.
Keywords: cryptocurrency market; pair trading; market;
Cryptocurrency fraud and its effects on price volatility in the cryptocurrency market
Sign Up to like & getrecommendations! Published in 2025 at "Journal of Chinese Economic and Foreign Trade Studies"
DOI: 10.1108/jcefts-05-2024-0034
Abstract: Purpose This study aims to examine the effect of cryptocurrency frauds on the price fluctuations of the cryptocurrency market. Design/methodology/approach To examine the effects of cryptocurrency frauds on cryptocurrency market, the authors have collected data… read more here.
Keywords: price fluctuations; fraud; cryptocurrency market; cryptocurrency ... See more keywords
The Impact of the COVID-19 Pandemic on the Unpredictable Dynamics of the Cryptocurrency Market
Sign Up to like & getrecommendations! Published in 2021 at "Entropy"
DOI: 10.3390/e23091234
Abstract: The global economy is under great shock again in 2020 due to the COVID-19 pandemic; it has not been long since the global financial crisis in 2008. Therefore, we investigate the evolution of the complexity… read more here.
Keywords: complexity cryptocurrency; complexity; market; cryptocurrency market ... See more keywords
Dependency Structures in Cryptocurrency Market from High to Low Frequency
Sign Up to like & getrecommendations! Published in 2022 at "Entropy"
DOI: 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)… read more here.
Keywords: high low; dependency structures; time; frequency ... See more keywords