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加密货币年龄、市值与收益尾部的关系

文章 arXiv papers · 作者: Arthur A. B. Pessa et al.
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总结

本研究考察加密货币收益极端值是否随资产年龄和市值而变化。研究分析了七千多种数字货币，根据所研究投资组合的历史数据估计收益分布尾部的幂律特征。报告的发现显示尾部具有不对称性：许多资产出现大幅正向变动的可能性高于大幅负向变动，尾部指数也常随年龄、市值或两者变化。

作者报告称，这些变化的方向并不一致。在所研究的加密货币中，只有约 28% 的资产随着年龄增长和市值扩大，价格大幅波动才变得较少；因此，年龄或规模本身并不意味着极端波动会减少。研究结果是广泛的统计描述，而非交易规则。文中没有说明抽样方法、资产纳入标准、估计不确定性或样本外检验，因此对预测或将这些模式应用于当前市场的结论有所限制。

核心观点

  • 研究估计了七千多种加密货币的收益尾部特征。
  • 据报告，在投资组合历史期间，收益尾部分布符合幂律。
  • 据报告，正收益极端值的尾部指数通常小于负收益极端值。
  • 尾部指数变化通常与资产年龄、市值或两者相关。
  • 在所研究资产中，只有约 28% 的资产随年龄和市值增长而出现较少的大幅波动。

标签

加密资产统计学波动率风险管理
全文
# Age and market capitalization drive large price variations of cryptocurrencies


# Age and market capitalization drive large price variations of cryptocurrencies









Cryptocurrencies are considered the latest innovation in finance with considerable impact across social, technological, and economic dimensions. This new class of financial assets has also motivated a myriad of scientific investigations focused on understanding their statistical properties, such as the distribution of price returns. However, research so far has only considered Bitcoin or at most a few cryptocurrencies, whilst ignoring that price returns might depend on cryptocurrency age or be influenced by market capitalization. Here, we therefore present a comprehensive investigation of large price variations for more than seven thousand digital currencies and explore whether price returns change with the coming-of-age and growth of the cryptocurrency market. We find that tail distributions of price returns follow power-law functions over the entire history of the considered cryptocurrency portfolio, with typical exponents implying the absence of characteristic scales for price variations in about half of them. Moreover, these tail distributions are asymmetric as positive returns more often display smaller exponents, indicating that large positive price variations are more likely than negative ones. Our results further reveal that changes in the tail exponents are very often simultaneously related to cryptocurrency age and market capitalization or only to age, with only a minority of cryptoassets being affected just by market capitalization or neither of the two quantities. Lastly, we find that the trends in power-law exponents usually point to mixed directions, and that large price variations are likely to become less frequent only in about 28\% of the cryptocurrencies as they age and grow in market capitalization.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。