IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v548y2020ics0378437119321363.html
   My bibliography  Save this article

Topological recognition of critical transitions in time series of cryptocurrencies

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437119321363
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
    File URL: https://libkey.io/10.1016/j.physa.2019.123843?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Kozłowska, M. & Denys, M. & Wiliński, M. & Link, G. & Gubiec, T. & Werner, T.R. & Kutner, R. & Struzik, Z.R., 2016. "Dynamic bifurcations on financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 126-142.
    2. Giacomo Livan & Jun-ichi Inoue & Enrico Scalas, 2012. "On the non-stationarity of financial time series: impact on optimal portfolio selection," Papers 1205.0877, arXiv.org, revised Jul 2012.
    3. Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012. "Identifying States of a Financial Market," Papers 1202.1623, arXiv.org.
    4. Vasilis Dakos & Stephen R Carpenter & William A Brock & Aaron M Ellison & Vishwesha Guttal & Anthony R Ives & Sonia Kéfi & Valerie Livina & David A Seekell & Egbert H van Nes & Marten Scheffer, 2012. "Methods for Detecting Early Warnings of Critical Transitions in Time Series Illustrated Using Simulated Ecological Data," PLOS ONE, Public Library of Science, vol. 7(7), pages 1-20, July.
    5. Sergio Focardi & Frank Fabozzi, 2004. "A methodology for index tracking based on time-series clustering," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 417-425.
    6. Jonathan Chiu & Thorsten V. Koeppl, 2017. "The Economics Of Cryptocurrencies - Bitcoin And Beyond," Working Paper 1389, Economics Department, Queen's University.
    7. Leopoldo Catania & Stefano Grassi, 2017. "Modelling Crypto-Currencies Financial Time-Series," CEIS Research Paper 417, Tor Vergata University, CEIS, revised 11 Dec 2017.
    8. Chiu, Jonathan & Koeppl, Thorsten V, 2017. "The economics of cryptocurrencies – bitcoin and beyond," Working Paper Series 20278, Victoria University of Wellington, School of Economics and Finance.
    9. Stanis{l}aw Dro.zd.z & Robert Gk{e}barowski & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marcin Wk{a}torek, 2018. "Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects," Papers 1804.05916, arXiv.org, revised Jul 2018.
    10. Leopoldo Catania & Stefano Grassi & Francesco Ravazzolo, 2018. "Forecasting Cryptocurrencies Financial Time Series," Working Papers No 5/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    11. Stephen Chan & Jeffrey Chu & Saralees Nadarajah & Joerg Osterrieder, 2017. "A Statistical Analysis of Cryptocurrencies," JRFM, MDPI, vol. 10(2), pages 1-23, May.
    12. Marian Gidea, 2017. "Topology data analysis of critical transitions in financial networks," Papers 1701.06081, arXiv.org.
    13. Jeffrey Chu & Stephen Chan & Saralees Nadarajah & Joerg Osterrieder, 2017. "GARCH Modelling of Cryptocurrencies," JRFM, MDPI, vol. 10(4), pages 1-15, October.
    14. Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018. "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Swiss Finance Institute Research Paper Series 18-22, Swiss Finance Institute, revised Mar 2018.
    15. Spencer Wheatley & Didier Sornette & Tobias Huber & Max Reppen & Robert N. Gantner, 2018. "Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model," Papers 1803.05663, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Azamir, Bouchaib & Bennis, Driss & Michel, Bertrand, 2022. "A simplified algorithm for identifying abnormal changes in dynamic networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
    2. 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).
    3. 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.
    4. Molina-Muñoz, Jesús & Mora-Valencia, Andrés & Perote, Javier, 2020. "Market-crash forecasting based on the dynamics of the alpha-stable distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
    5. Ren, Yi-Shuai & Ma, Chao-Qun & Kong, Xiao-Lin & Baltas, Konstantinos & Zureigat, Qasim, 2022. "Past, present, and future of the application of machine learning in cryptocurrency research," Research in International Business and Finance, Elsevier, vol. 63(C).
    6. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Simon Rudkin & Wanling Qiu & Pawel Dlotko, 2021. "Uncertainty, volatility and the persistence norms of financial time series," Papers 2110.00098, arXiv.org.
    8. Ismail, Mohd Sabri & Noorani, Mohd Salmi Md & Ismail, Munira & Razak, Fatimah Abdul & Alias, Mohd Almie, 2022. "Early warning signals of financial crises using persistent homology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 586(C).
    9. 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.
    10. 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).
    11. Cunha, Leonardo R. & Pessa, Arthur A.B. & Mendes, Renio S., 2024. "Shape patterns in popularity series of video games," Chaos, Solitons & Fractals, Elsevier, vol. 185(C).
    12. Mellouli Dhoha & Wael Dammak & Hind Alnafisah & Ahmed Jeribi, 2024. "Dynamic spillovers between natural gas and BRICS stock markets during health and political crises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 453-485, June.
    13. Song, Shijia & Li, Handong, 2025. "Can topological transitions in cryptocurrency systems serve as early warning signals for extreme fluctuations in traditional markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 657(C).
    14. 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).
    15. 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.

    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. Marian Gidea & Daniel Goldsmith & Yuri Katz & Pablo Roldan & Yonah Shmalo, 2018. "Topological recognition of critical transitions in time series of cryptocurrencies," Papers 1809.00695, arXiv.org.
    2. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro, 2018. "Between Cash, Deposit And Bitcoin: Would We Like A Central Bank Digital Currency? Money Demand And Experimental Economics," BAFFI CAREFIN Working Papers 1875, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    3. Trucíos, Carlos, 2019. "Forecasting Bitcoin risk measures: A robust approach," International Journal of Forecasting, Elsevier, vol. 35(3), pages 836-847.
    4. Yhlas Sovbetov, 2018. "Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 2(2), pages 1-27.
    5. Emanuele Borgonovo & Stefano Caselli & Alessandra Cillo & Donato Masciandaro & Giovanno Rabitti, 2018. "Cryptocurrencies, central bank digital cash, traditional money: does privacy matter?," BAFFI CAREFIN Working Papers 1895, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Donato Masciandaro, 2018. "Central Bank Digital Cash and Cryptocurrencies: Insights from a New Baumol–Friedman Demand for Money," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(4), pages 540-550, December.
    7. James, Nick & Menzies, Max, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    8. D’Amato, Valeria & Levantesi, Susanna & Piscopo, Gabriella, 2022. "Deep learning in predicting cryptocurrency volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    9. Yi, Eojin & Ahn, Kwangwon & Choi, M.Y., 2022. "Cryptocurrency: Not far from equilibrium," Technological Forecasting and Social Change, Elsevier, vol. 177(C).
    10. Hanna Halaburda & Guillaume Haeringer & Joshua Gans & Neil Gandal, 2022. "The Microeconomics of Cryptocurrencies," Journal of Economic Literature, American Economic Association, vol. 60(3), pages 971-1013, September.
    11. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    12. Simplice A. Asongu & Nicholas M. Odhiambo, 2023. "Female unemployment, mobile money innovations and doing business by females," Journal of Innovation and Entrepreneurship, Springer, vol. 12(1), pages 1-26, December.
    13. Sofia Priazhkina & Samuel Palmer & Pablo Martín-Ramiro & Román Orús & Samuel Mugel & Vladimir Skavysh, 2024. "Digital Payments in Firm Networks: Theory of Adoption and Quantum Algorithm," Staff Working Papers 24-17, Bank of Canada.
    14. Alexandre Bovet & Carlo Campajola & Jorge F. Lazo & Francesco Mottes & Iacopo Pozzana & Valerio Restocchi & Pietro Saggese & Nicol'o Vallarano & Tiziano Squartini & Claudio J. Tessone, 2018. "Network-based indicators of Bitcoin bubbles," Papers 1805.04460, arXiv.org.
    15. Rodney J. Garratt & Maarten R. C. van Oordt, 2023. "Why Fixed Costs Matter for Proof-of-Work–Based Cryptocurrencies," Management Science, INFORMS, vol. 69(11), pages 6482-6507, November.
    16. Ke Wu & Spencer Wheatley & Didier Sornette, 2018. "Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations," Papers 1803.03088, arXiv.org, revised May 2018.
    17. M. Eren Akbiyik & Mert Erkul & Killian Kaempf & Vaiva Vasiliauskaite & Nino Antulov-Fantulin, 2021. "Ask "Who", Not "What": Bitcoin Volatility Forecasting with Twitter Data," Papers 2110.14317, arXiv.org, revised Dec 2022.
    18. Raphael Auer, 2019. "Beyond the doomsday economics of "proof-of-work" in cryptocurrencies," BIS Working Papers 765, Bank for International Settlements.
    19. Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
    20. Wenpin Tang & David D. Yao, 2023. "Trading under the proof‐of‐stake protocol – A continuous‐time control approach," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 979-1004, October.

    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:eee:phsmap:v:548:y:2020:i:c:s0378437119321363. 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    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.