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Demythifying the belief in cryptocurrencies decentralized aspects. A study of cryptocurrencies time cross-correlations with common currencies, commodities and financial indices

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  • Manavi, Seyed Alireza
  • Jafari, Gholamreza
  • Rouhani, Shahin
  • Ausloos, Marcel

Abstract

The main question of this article is about whether cryptocurrencies, within their decentralization aspects, are a real commodity or/and a virtual currency. To resolve such a dilemma, we compare 7 cryptocurrencies with a sample of the three types of monetary systems: 28 fiat money, 2 commodities, 2 commodity based indices, and 3 financial market indices. We use the matrix correlation method. We display dendrograms and observe “hierarchy clustering”, as a function of data coarse graining.

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  • Manavi, Seyed Alireza & Jafari, Gholamreza & Rouhani, Shahin & Ausloos, Marcel, 2020. "Demythifying the belief in cryptocurrencies decentralized aspects. A study of cryptocurrencies time cross-correlations with common currencies, commodities and financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 556(C).
    • Handle: RePEc:eee:phsmap:v:556:y:2020:i:c:s0378437120303836
    DOI: 10.1016/j.physa.2020.124759
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    24. Chu, Meifen, 2021. "Bitcoin and traditional currencies during the Covid-19 pandemic period," MPRA Paper 110117, University Library of Munich, Germany.
    25. Nick James, 2021. "Evolutionary correlation, regime switching, spectral dynamics and optimal trading strategies for cryptocurrencies and equities," Papers 2112.15321, arXiv.org, revised Mar 2022.

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