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Topological recognition of critical transitions in time series of cryptocurrencies

Author

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  • Gidea, Marian
  • Goldsmith, Daniel
  • Katz, Yuri
  • Roldan, Pablo
  • Shmalo, Yonah

Abstract

We analyze four major cryptocurrencies (Bitcoin, Ethereum, Litecoin, and Ripple) before the digital asset market crash at the beginning of 2018. We also analyze Bitcoin before some of the mini-crashes that occurred during the period 2016–2018. All relevant time series exhibited a highly erratic behavior.

Suggested Citation

  • Gidea, Marian & Goldsmith, Daniel & Katz, Yuri & Roldan, Pablo & Shmalo, Yonah, 2020. "Topological recognition of critical transitions in time series of cryptocurrencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
    • Handle: RePEc:eee:phsmap:v:548:y:2020:i:c:s0378437119321363
    DOI: 10.1016/j.physa.2019.123843
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    References listed on IDEAS

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    5. Miguel A. Ruiz-Ortiz & Jos'e Carlos G'omez-Larra~naga & Jes'us Rodr'iguez-Viorato, 2022. "A persistent-homology-based turbulence index & some applications of TDA on financial markets," Papers 2203.05603, arXiv.org, revised Jul 2023.
    6. Katz, Yuri A. & Biem, Alain, 2021. "Time-resolved topological data analysis of market instabilities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 571(C).
    7. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    8. Rico-Peña, Juan Jesús & Arguedas-Sanz, Raquel & López-Martin, Carmen, 2023. "Models used to characterise blockchain features. A systematic literature review and bibliometric analysis," Technovation, Elsevier, vol. 123(C).
    9. Simon Rudkin & Wanling Qiu & Pawel Dlotko, 2021. "Uncertainty, volatility and the persistence norms of financial time series," Papers 2110.00098, arXiv.org.
    10. Renjie Chen & Nalini Ravishanker, 2023. "Feature Construction Using Persistence Landscapes for Clustering Noisy IoT Time Series," Future Internet, MDPI, vol. 15(6), pages 1-13, May.
    11. Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh & Roubaud, David, 2021. "Quantile connectedness in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    12. Yunsheng Zhang & Qingzhang Shi & Jiawei Zhu & Jian Peng & Haifeng Li, 2021. "Time Series Clustering with Topological and Geometric Mixed Distance," Mathematics, MDPI, vol. 9(9), pages 1-17, May.

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