@inproceedings{723c98c5dfb24bf3893bf2e6a4cd6353,
title = "Towards an understanding of cryptocurrency: A comparative analysis of cryptocurrency, foreign exchange, and stock",
abstract = "Cryptocurrency is a cutting-edge Fintech innovation and currently a worldwide hotspot. However, the high-speed evolution of it has already caused a series of public security related events all around the world. Cryptocurrency was built initially as a possible implementation of digital currency, then various derivatives were created in a variety of fields such as financial transactions, capital management, and even nonmonetary applications. This paper aims to offer analytical insights to help understand cryptocurrency by treating it as a financial asset. We position cryptocurrency by comparing its dynamic characteristics with two traditional and massively adopted financial assets: foreign exchange and stock. Based on the daily close prices about four years, we first construct the correlation matrices and asset trees of all three markets, then conduct comparisons on five properties: volatility, centrality, clustering structure, robustness, and risk. Our investigation suggests that the dynamics of cryptocurrency are more similar to stock. As to the robustness and clustering structure, our analysis shows cryptocurrency market is more fragile than stock market, thus it is currently a high-risk financial market. Our work is the first to study cryptocurrency with the help of well-understood financial assets and may shed some light on investment decisions, regulation, and legislation.",
keywords = "Asset tree, Blockchain, Correlation matrix, Cryptocurrency, Financial market, Systemic risk",
author = "Jiaqi Liang and Linjing Li and Weiyun Chen and Daniel Zeng",
year = "2019",
month = jul,
doi = "10.1109/ISI.2019.8823373",
language = "English (US)",
series = "2019 IEEE International Conference on Intelligence and Security Informatics, ISI 2019",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "137--139",
editor = "Xiaolong Zheng and Ahmed Abbasi and Michael Chau and Alan Wang and Lina Zhou",
booktitle = "2019 IEEE International Conference on Intelligence and Security Informatics, ISI 2019",
note = "17th IEEE International Conference on Intelligence and Security Informatics, ISI 2019 ; Conference date: 01-07-2019 Through 03-07-2019",
}