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用时变格兰杰因果网络描绘加密货币影响力

文章 arXiv papers · 作者: Shubhangam Shukla et al.
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总结

本研究使用 2020 至 2025 的高频收益数据，描绘加密货币之间不断变化的关系。研究根据资产对数收益之间具有统计显著性的格兰杰因果联系构建加权有向网络，并将联系的方向和强度视为影响力指标。研究还考察标准化收益分布，并根据网络出强度对资产排名。

分析报告称，标准化收益呈厚尾特征，网络影响力集中于少数加密货币。研究报告称，以太坊在整个期间影响力最大，而比特币的相对影响力逐渐下降。排名也随时间显著变化，不同加密货币会进入或退出前列。这表明该生态系统的影响力结构具有竞争性且不稳定。说明未提供网络构建阈值、验证细节，也没有证据表明格兰杰联系能够确立结构性因果关系，因此应将这些排名理解为该框架下的衡量结果，而不是确定的因果结论或交易信号。

核心观点

  • 本研究根据加密货币收益中显著的格兰杰因果关系构建加权有向网络。
  • 研究报告称，加密货币标准化收益呈厚尾特征。
  • 少数资产占据了网络影响力的不成比例份额。
  • 以太坊排名最具影响力，而比特币的相对重要性随时间下降。
  • 影响力排名变化显著，表明网络层级并不稳定。

标签

加密资产高频交易市场微观结构统计学
全文
# Time-dependent weighted directed networks of cryptocurrency interaction from high-frequency returns


# Time-dependent weighted directed networks of cryptocurrency interaction from high-frequency returns









We investigate the evolving structure of interactions in cryptocurrency markets using a network-based framework constructed from high-frequency price data spanning 2020-2025. Directed and weighted networks are constructed from statistically significant Granger causal relationships between cryptocurrency log-returns, enabling us to quantify the flow of influence across assets. We find that normalized returns exhibit heavy-tailed distributions, consistent with the presence of large intermittent fluctuations and in line with stylized facts of financial markets. The resulting networks display pronounced heterogeneity in link weights and nodal strengths, indicating that a small subset of cryptocurrencies contributes disproportionately to market dynamics. By ranking cryptocurrencies based on their nodal out-strength, we uncover a dynamically evolving hierarchy of influence. Ethereum consistently emerges as the most influential asset, while Bitcoin shows a gradual decline in its relative importance. The ranking structure exhibits substantial temporal variability, with multiple cryptocurrencies entering and exiting the top positions over time. Our findings reveal a highly competitive and non-stable organization of the cryptocurrency ecosystem.

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。