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Comprehensive analysis of the crypto-assets market through multivariate analysis, clustering, and wavelet decomposition

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  • Álvarez, Emiliano
  • Brida, Juan Gabriel
  • Moreno, Leonardo
  • Sosa, Andrés

Abstract

This research analyzes the relationship between volatility, traded volume and price in the crypto-assets market. First, the relationship between volatility and traded volume is examined, revealing a positive correlation between the two variables across a large number of crypto-assets. This indicates that increased trading volume coincides with increased volatility in crypto-assets prices, an important attribute in a highly volatile financial market. A wavelet analysis is performed in order to cluster crypto-assets according to their price and/or traded volume. It is found that the two main crypto-assets are in the same cluster when only the price variable is analyzed. However, when adding the traded volume variable to the analysis these two crypto-assets separate. This suggests that Bitcoin and Ethereum have similar behavior in price evolution but when analyzed comprehensively their behavior is heterogeneous. This analysis is carried out using a static approach and the results are contrasted using a dynamic approach by studying the evolution of the clusters over time. The results are important for investors seeking to diversify their trading portfolios with the instantaneous information provided by the market (price and volume). Through understanding the relationship between volatility, traded volume and price, investors can make more informed decisions about where to allocate their capital.

Suggested Citation

  • Álvarez, Emiliano & Brida, Juan Gabriel & Moreno, Leonardo & Sosa, Andrés, 2025. "Comprehensive analysis of the crypto-assets market through multivariate analysis, clustering, and wavelet decomposition," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 660(C).
    • Handle: RePEc:eee:phsmap:v:660:y:2025:i:c:s0378437124008409
    DOI: 10.1016/j.physa.2024.130330
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