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加密货币市场行为如何随市场成熟度变化

文章 arXiv papers · 作者: Stanisław Drożdż et al.
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总结

本文将加密货币市场中的定量模式与成熟金融市场的典型事实进行比较。研究涵盖收益分布、波动聚集、时间多重分形相关性、跨市场相关性，以及交易量与价格变化之间的关系。大量记录下来的加密货币交易数据，使研究人员能够考察这些特征如何随资产和市场发展而变化。

市值最大的加密货币在若干收益和波动率指标上总体类似成熟市场，而较小型币种的相似性较弱，彼此之间以及与其他市场的相关性也较低。本文还报告称，加密货币市场中与交易量相关的价格冲击强于成熟股票市场，价格冲击与交易量的关系近似按交易量的幂次增长，幂指数不低于1。摘录未说明样本期间、资产或估计方法，因此这些发现应视为该研究的大体结果，而非适用于所有加密货币的普遍特征。

核心观点

  • 大型加密货币的收益和波动模式与成熟市场相似。
  • 较小型加密货币在所研究指标上的相似性较弱。
  • 较小型币种之间以及它们与其他金融市场的相关性较低。
  • 研究发现，加密货币市场中与交易量相关的价格冲击强于成熟股票市场。

标签

加密资产统计学波动率市场微观结构链上数据
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# What is mature and what is still emerging in the cryptocurrency market?


# What is mature and what is still emerging in the cryptocurrency market?









In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the multidimensional trajectory of its development since inception up to the present time. Several main characteristics commonly recognized as financial stylized facts of mature markets were quantitatively studied here. In particular, it is shown that the return distributions, volatility clustering effects, and even temporal multifractal correlations for a few highest-capitalization cryptocurrencies largely follow those of the well-established financial markets. The smaller cryptocurrencies are somewhat deficient in this regard, however. They are also not as highly cross-correlated among themselves and with other financial markets as the large cryptocurrencies. Quite generally, the volume V impact on price changes R appears to be much stronger on the cryptocurrency market than in the mature stock markets, and scales as $R(V) \sim V^α$ with $α\gtrsim 1$.

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。