加密货币市场的自发秩序：崩溃动力学和复杂性-熵因果关系平面

IF 3.1 3区物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-10-14 DOI:10.1016/j.physa.2025.131050

Huy Quoc Bui , Christophe Schinckus , Hamdan Al-Jaifi , Boon-Keong Lim

{"title":"加密货币市场的自发秩序：崩溃动力学和复杂性-熵因果关系平面","authors":"Huy Quoc Bui , Christophe Schinckus , Hamdan Al-Jaifi , Boon-Keong Lim","doi":"10.1016/j.physa.2025.131050","DOIUrl":null,"url":null,"abstract":"<div><div>This study examines the dynamic evolution of spontaneous order in cryptocurrency markets using the Complexity–Entropy Causality Plane (CECP) methodology. By analyzing closing price data from seven major cryptocurrencies between 2017 and 2025, we find that although these assets generally exhibit behavior consistent with a random walk, a clear bifurcation emerges. Newer and less established cryptocurrencies—such as DOGE, ADA, and BNB—display higher complexity and shift toward chaotic regimes, while BTC, XRP, ETH, and TRX maintain lower complexity and greater randomness, suggesting higher informational efficiency. Additionally, the analysis reveals distinct disorder-to-order transitions preceding several major market downturns, indicating that spontaneous order may function as an early warning signal of systemic stress.</div></div>","PeriodicalId":20152,"journal":{"name":"Physica A: Statistical Mechanics and its Applications","volume":"680 ","pages":"Article 131050"},"PeriodicalIF":3.1000,"publicationDate":"2025-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Spontaneous order in cryptocurrency markets: Crash dynamics and complexity–entropy causality plane\",\"authors\":\"Huy Quoc Bui , Christophe Schinckus , Hamdan Al-Jaifi , Boon-Keong Lim\",\"doi\":\"10.1016/j.physa.2025.131050\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This study examines the dynamic evolution of spontaneous order in cryptocurrency markets using the Complexity–Entropy Causality Plane (CECP) methodology. By analyzing closing price data from seven major cryptocurrencies between 2017 and 2025, we find that although these assets generally exhibit behavior consistent with a random walk, a clear bifurcation emerges. Newer and less established cryptocurrencies—such as DOGE, ADA, and BNB—display higher complexity and shift toward chaotic regimes, while BTC, XRP, ETH, and TRX maintain lower complexity and greater randomness, suggesting higher informational efficiency. Additionally, the analysis reveals distinct disorder-to-order transitions preceding several major market downturns, indicating that spontaneous order may function as an early warning signal of systemic stress.</div></div>\",\"PeriodicalId\":20152,\"journal\":{\"name\":\"Physica A: Statistical Mechanics and its Applications\",\"volume\":\"680 \",\"pages\":\"Article 131050\"},\"PeriodicalIF\":3.1000,\"publicationDate\":\"2025-10-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Physica A: Statistical Mechanics and its Applications\",\"FirstCategoryId\":\"101\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0378437125007022\",\"RegionNum\":3,\"RegionCategory\":\"物理与天体物理\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"PHYSICS, MULTIDISCIPLINARY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Physica A: Statistical Mechanics and its Applications","FirstCategoryId":"101","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0378437125007022","RegionNum":3,"RegionCategory":"物理与天体物理","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MULTIDISCIPLINARY","Score":null,"Total":0}

引用次数: 0

摘要

本研究使用复杂性-熵因果关系平面（CECP）方法研究了加密货币市场中自发秩序的动态演变。通过分析2017年至2025年间七种主要加密货币的收盘价数据，我们发现，尽管这些资产通常表现出与随机游走一致的行为，但出现了明显的分歧。较新的和不太成熟的加密货币-如DOGE， ADA和bnb -显示出更高的复杂性并转向混沌制度，而BTC， XRP， ETH和TRX保持较低的复杂性和更大的随机性，表明更高的信息效率。此外，分析显示，在几次主要市场低迷之前，有明显的从无序到有序的转变，表明自发秩序可能作为系统性压力的早期预警信号。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Spontaneous order in cryptocurrency markets: Crash dynamics and complexity–entropy causality plane

This study examines the dynamic evolution of spontaneous order in cryptocurrency markets using the Complexity–Entropy Causality Plane (CECP) methodology. By analyzing closing price data from seven major cryptocurrencies between 2017 and 2025, we find that although these assets generally exhibit behavior consistent with a random walk, a clear bifurcation emerges. Newer and less established cryptocurrencies—such as DOGE, ADA, and BNB—display higher complexity and shift toward chaotic regimes, while BTC, XRP, ETH, and TRX maintain lower complexity and greater randomness, suggesting higher informational efficiency. Additionally, the analysis reveals distinct disorder-to-order transitions preceding several major market downturns, indicating that spontaneous order may function as an early warning signal of systemic stress.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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.