加密货币动态的普遍性:稳定性、可扩展性和规模

A. Pogudin, Anindya S. Chakrabati, T. Di Matteo
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引用次数: 5

摘要

加密货币代表了一种具有两个独特属性的资产类别:它们不受主权国家的支持,它们的供应是外部固定的。这种组合在它们的波动性上表现得很明显,这种波动性只受需求侧因素的驱动。特别是,加密货币代表了过度波动之谜的一个极端案例,资产价格的波动超过了基本面。我们探讨了回报率和波动性网络中市值对加密货币动态的影响,并表明这些加密货币在波动性方面表现出相对于市值的缩放特性。依赖网络表明,市场份额越大的货币在主导特征谱中的存在越大,在共同运动网络中的影响也越大。在这些方面,我们发现加密货币的动态与更传统的资产类别之间存在相似之处。我们的研究结果对研究人员和从业人员在建模和分析金融资产的集体行为方面都有启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Universalities in the Dynamics of Cryptocurrencies: Stability, Scaling and Size
Cryptocurrencies represent an asset class featuring two unique properties: they are not backed by sovereigns, and their supply is fixed exogenously. This combination becomes apparent in their volatility, which is driven only by demand-side factors. In particular, cryptocurrencies represent an extreme case of the excess volatility puzzle, with asset prices moving more than the fundamentals. We explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization. The dependency network suggests that currencies with a larger market share have a larger presence in the dominant eigenspectrum, and they exert more influence in the co movement network. In these regards, we find parallels between the dynamics of cryptocurrencies and those of more traditional asset classes. Our findings have implications for both researchers and practitioners in terms of modeling and analyzing the collective behavior of financial assets.
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