The battle of informational efficiency: Cryptocurrencies vs. classical assets

IF 2.8 3区物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-02-25 DOI:10.1016/j.physa.2025.130427

Leonardo H.S. Fernandes , José R.A. Figueirôa , Caleb M.F. Martins , Adriel M.F. Martins

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引用次数: 0

Abstract

This research applies the Martins, Fernandes, and Nascimento (MFN) method for estimating statistical confidence intervals in information theory, focusing on two key quantifiers: Permutation entropy

(H_{s})

and Fisher information measure

(F_{s})

. Our study focuses on the daily closing price time series of five major cryptocurrencies — Bitcoin (BTC), Ethereum (ETH), BNB, Solana (SOL), and XRP — alongside two stock market indexes (S&P 500 and NYSE Composite), one commodity (Gold), and one exchange rate (EUR/USD). Based on the values of

H_{s}

and

F_{s}

, we construct the Shannon–Fisher Causality Plane (SFCP), which allows us to quantify disorder and evaluate randomness in the daily closing prices of various financial assets. Also, we provide novel insights related to the SFCP with density contours. Our findings reveal that XRP, BNB, and BTC are positioned close to the random ideal position

(H_{s} = 1, F_{s} = 0)

on the SFCP, which suggests they exhibit higher disorder, lower predictability, greater informational efficiency, and reduced informational asymmetry and speculative activity. In contrast, the S&P 500, NYA, and Gold are positioned further from this ideal point, indicating increased market inefficiencies and speculation. Also, cryptocurrencies demonstrate less dense density contours with high

(H_{s})

and low

(F_{s})

, while traditional financial assets show denser contours with low

(H_{s})

and high

(F_{s})

. XRP, BNB, and BTC have less dense contours than other assets. The densest contours are observed for Gold, NYA, and S&P 500. Principal Component Analysis (PCA) supports these findings by confirming that cryptocurrencies, S&P 500 and Gold, function as safe-haven assets. Overall, the study highlights the potential of cryptocurrencies to provide more reliable investment signals, thereby mitigating risks associated with information asymmetry and speculative trading.

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来源期刊

Physica A: Statistical Mechanics and its Applications 物理-物理：综合

CiteScore

7.20

自引率

9.10%

发文量

852

审稿时长

6.6 months

期刊介绍： Physica A: Statistical Mechanics and its Applications Recognized by the European Physical Society Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.