TY - GEN
T1 - Correlation-based dynamics and systemic risk measures in the cryptocurrency market
AU - Liang, Jiaqi
AU - Li, Linjing
AU - Zeng, Daniel
AU - Zhao, Yunwei
N1 - Funding Information:
This work was supported in part by the National Key Research and Development Program of China under Grant 2017YFC0820105 and 2016QY02D0305, the National Natural Science Foundation of China under Grants 71702181, 71621002, and U1435221, as well as the Key Research Program of the Chinese Academy of Sciences under Grant ZDRW-XH-2017-3.
Publisher Copyright:
© 2018 IEEE.
PY - 2018/12/24
Y1 - 2018/12/24
N2 - 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.
AB - 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.
KW - Asset tree
KW - Blockchain
KW - Correlation matrix
KW - Cryptocurrency
KW - Financial market
KW - Systemic risk
UR - http://www.scopus.com/inward/record.url?scp=85061039719&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85061039719&partnerID=8YFLogxK
U2 - 10.1109/ISI.2018.8587395
DO - 10.1109/ISI.2018.8587395
M3 - Conference contribution
AN - SCOPUS:85061039719
T3 - 2018 IEEE International Conference on Intelligence and Security Informatics, ISI 2018
SP - 43
EP - 48
BT - 2018 IEEE International Conference on Intelligence and Security Informatics, ISI 2018
A2 - Lee, Dongwon
A2 - Mezzour, Ghita
A2 - Kumaraguru, Ponnurangam
A2 - Saxena, Nitesh
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 16th IEEE International Conference on Intelligence and Security Informatics, ISI 2018
Y2 - 9 November 2018 through 11 November 2018
ER -