Correlation-based dynamics and systemic risk measures in the cryptocurrency market

Jiaqi Liang, Linjing Li, Dajun Zeng, Yunwei Zhao

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Abstract

Cryptocurrency is a rapid developing financial technology innovation which has attracted a large number of people around the world. The high-speed evolution, radical price fluctuations of cryptocurrency, and the inconsistent attitudes of monetary authorities in different countries have triggered panic and chain reactions towards the application and adoption of cryptocurrency and have caused public security related events. So far, a lot of researches and analyses have focused on just one or only a few number of cryptocurrencies, a comprehensive analysis of the whole cryptocurrency market and its systemic risk is still lacking. In this paper, we analyze the dynamics and systemic risk of the cryptocurrency market based on the public available price history. We first validated that the correlation matrix and asset tree are good tools to analyze the risk and stability of the cryptocurrency market. Furthermore, consistent with public perception, our quantitative analysis reveals that the cryptocurrency market is relatively fragile and unstable. Our work is the first to investigate the systemic risk of the whole cryptocurrency market and may shed some light on cryptocurrency related investment decision, regulation, and legislation.

Original languageEnglish (US)
Title of host publication2018 IEEE International Conference on Intelligence and Security Informatics, ISI 2018
EditorsDongwon Lee, Ghita Mezzour, Ponnurangam Kumaraguru, Nitesh Saxena
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages43-48
Number of pages6
ISBN (Electronic)9781538678480
DOIs
StatePublished - Dec 24 2018
Externally publishedYes
Event16th IEEE International Conference on Intelligence and Security Informatics, ISI 2018 - Miami, United States
Duration: Nov 9 2018Nov 11 2018

Other

Other16th IEEE International Conference on Intelligence and Security Informatics, ISI 2018
CountryUnited States
CityMiami
Period11/9/1811/11/18

Keywords

  • Asset tree
  • Blockchain
  • Correlation matrix
  • Cryptocurrency
  • Financial market
  • Systemic risk

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems and Management
  • Safety, Risk, Reliability and Quality
  • Communication

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  • Cite this

    Liang, J., Li, L., Zeng, D., & Zhao, Y. (2018). Correlation-based dynamics and systemic risk measures in the cryptocurrency market. In D. Lee, G. Mezzour, P. Kumaraguru, & N. Saxena (Eds.), 2018 IEEE International Conference on Intelligence and Security Informatics, ISI 2018 (pp. 43-48). [8587395] Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/ISI.2018.8587395