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