IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2005.13033.html
   My bibliography  Save this paper

Stocks and Cryptocurrencies: Anti-fragile or Robust?

Author

Listed:
  • Dar'io Alatorre
  • Carlos Gershenson
  • Jos'e L. Mateos

Abstract

In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of antifragility for complex dynamical systems. In this work we use our antifragility measure to analyze real data from return prices in the stock and cryptocurrency markets. Our definition of antifragility is the product of the return price and a perturbation. We explore different types of perturbations that typically arise from within the system. Our results suggest that for both the stock market and the cryptocurrency market, the tendency among the 'top performers' is to be robust rather than antifragile. It would be important to explore other possible definitions of antifragility to understand its role in financial markets and in complex dynamical systems in general.

Suggested Citation

  • Dar'io Alatorre & Carlos Gershenson & Jos'e L. Mateos, 2020. "Stocks and Cryptocurrencies: Anti-fragile or Robust?," Papers 2005.13033, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2005.13033
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2005.13033
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
    2. Hyobin Kim & Omar K. Pineda & Carlos Gershenson, 2019. "A Multilayer Structure Facilitates the Production of Antifragile Systems in Boolean Network Models," Complexity, Hindawi, vol. 2019, pages 1-11, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mahata, Ajit & Rai, Anish & Nurujjaman, Md. & Prakash, Om, 2021. "Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    2. Kalantari, Somayeh & Nazemi, Eslam & Masoumi, Behrooz, 2021. "Entropy-based goal-oriented emergence management in self-organizing systems through feedback control loop: A case study in NASA ANTS mission," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    3. Nassim Nicholas Taleb & Rupert Read & Raphaël Douady & Joseph Norman & Yaneer Bar-Yam, 2014. "The Precautionary Principle (with Application to the Genetic Modification of Organisms)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01479405, HAL.
    4. Yuri Biondi & Pierpaolo Giannoccolo, 2015. "Share price formation, market exuberance and financial stability under alternative accounting regimes," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(2), pages 333-362, October.
    5. Evangelos Gkanatsas & Harold Krikke, 2020. "Towards a Pro-Silience Framework: A Literature Review on Quantitative Modelling of Resilient 3PL Supply Chain Network Designs," Sustainability, MDPI, vol. 12(10), pages 1-25, May.
    6. Raphaël Douady, 2019. "Managing the Downside of Active and Passive Strategies: Convexity and Fragilities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02488589, HAL.
    7. Tan, Raymond R. & Aviso, Kathleen B. & Chiu, Anthony S.F. & Promentilla, Michael Angelo B. & Razon, Luis F. & Tseng, Ming-Lang & Yu, Krista Danielle S., 2017. "Towards “climate-proof” industrial networks," Resources, Conservation & Recycling, Elsevier, vol. 127(C), pages 244-245.
    8. Kourtit, Karima & Nijkamp, Peter & Banica, Alexandru, 2023. "An analysis of natural disasters’ effects – A global comparative study of ‘Blessing in Disguise’," Socio-Economic Planning Sciences, Elsevier, vol. 88(C).
    9. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
    10. Taleb, Nassim Nicholas, 2020. "On the statistical differences between binary forecasts and real-world payoffs," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1228-1240.
    11. Tran, Huy T. & Balchanos, Michael & Domerçant, Jean Charles & Mavris, Dimitri N., 2017. "A framework for the quantitative assessment of performance-based system resilience," Reliability Engineering and System Safety, Elsevier, vol. 158(C), pages 73-84.
    12. Bellè, Andrea & Zeng, Zhiguo & Duval, Carole & Sango, Marc & Barros, Anne, 2022. "Modeling and vulnerability analysis of interdependent railway and power networks: Application to British test systems," Reliability Engineering and System Safety, Elsevier, vol. 217(C).
    13. Ahmadreza Ghasemi & Mitra Alizadeh, 2017. "Evaluating organizational antifragility via fuzzy logic. The case of an Iranian company producing banknotes and security paper," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 27(2), pages 21-43.
    14. Meine van Noordwijk & Erika Speelman & Gert Jan Hofstede & Ai Farida & Ali Yansyah Abdurrahim & Andrew Miccolis & Arief Lukman Hakim & Charles Nduhiu Wamucii & Elisabeth Lagneaux & Federico Andreotti , 2020. "Sustainable Agroforestry Landscape Management: Changing the Game," Land, MDPI, vol. 9(8), pages 1-38, July.
    15. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    16. Harald de Bruijn & Andreas Größler & Nuno Videira, 2020. "Antifragility as a design criterion for modelling dynamic systems," Systems Research and Behavioral Science, Wiley Blackwell, vol. 37(1), pages 23-37, January.
    17. Samiul Hasan & Greg Foliente, 2015. "Modeling infrastructure system interdependencies and socioeconomic impacts of failure in extreme events: emerging R&D challenges," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 78(3), pages 2143-2168, September.
    18. Lalisa A. Duguma & Meine van Noordwijk & Peter A. Minang & Kennedy Muthee, 2021. "COVID-19 Pandemic and Agroecosystem Resilience: Early Insights for Building Better Futures," Sustainability, MDPI, vol. 13(3), pages 1-22, January.
    19. Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn, 2016. "Big is Fragile: An Attempt at Theorizing Scale," Papers 1603.01416, arXiv.org, revised Jun 2017.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2005.13033. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.