IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1411.1924.html
   My bibliography  Save this paper

On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets

Author

Listed:
  • Daniel Wilson-Nunn
  • Hector Zenil

Abstract

We show that the behaviour of Bitcoin has interesting similarities to stock and precious metal markets, such as gold and silver. We report that whilst Litecoin, the second largest cryptocurrency, closely follows Bitcoin's behaviour, it does not show all the reported properties of Bitcoin. Agreements between apparently disparate complexity measures have been found, and it is shown that statistical, information-theoretic, algorithmic and fractal measures have different but interesting capabilities of clustering families of markets by type. The report is particularly interesting because of the range and novel use of some measures of complexity to characterize price behaviour, because of the IRS designation of Bitcoin as an investment property and not a currency, and the announcement of the Canadian government's own electronic currency MintChip.

Suggested Citation

  • Daniel Wilson-Nunn & Hector Zenil, 2014. "On the Complexity and Behaviour of Cryptocurrencies Compared to Other Markets," Papers 1411.1924, arXiv.org.
    • Handle: RePEc:arx:papers:1411.1924
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1411.1924
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Hector Zenil & Jean‐Paul Delahaye, 2011. "An Algorithmic Information Theoretic Approach To The Behaviour Of Financial Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 25(3), pages 431-463, July.
    2. Jean-Paul Delahaye & Hector Zenil, 2011. "An algorithmic information-theoretic approach to the behaviour of financial markets," Post-Print hal-00825528, HAL.
    3. Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014. "Algorithmic complexity of financial motions," Research in International Business and Finance, Elsevier, vol. 30(C), pages 336-347.
    4. Jean-Paul Delahaye & Hector Zenil, 2012. "Numerical Evaluation of Algorithmic Complexity for Short Strings: A Glance into the Innermost Structure of Randomness," Post-Print hal-00825530, HAL.
    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. Brandouy, Olivier & Delahaye, Jean-Paul & Ma, Lin & Zenil, Hector, 2014. "Algorithmic complexity of financial motions," Research in International Business and Finance, Elsevier, vol. 30(C), pages 336-347.
    2. Dingle, Kamaludin & Kamal, Rafiq & Hamzi, Boumediene, 2023. "A note on a priori forecasting and simplicity bias in time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    3. Fernando Soler-Toscano & Hector Zenil, 2017. "A Computable Measure of Algorithmic Probability by Finite Approximations with an Application to Integer Sequences," Complexity, Hindawi, vol. 2017, pages 1-10, December.
    4. Fernando Soler-Toscano & Hector Zenil & Jean-Paul Delahaye & Nicolas Gauvrit, 2014. "Calculating Kolmogorov Complexity from the Output Frequency Distributions of Small Turing Machines," PLOS ONE, Public Library of Science, vol. 9(5), pages 1-18, May.
    5. Olivier Brandouy & Jean-Paul Delahaye & Lin Ma, 2015. "Estimating the Algorithmic Complexity of Stock Markets," Papers 1504.04296, arXiv.org.
    6. Philip Z. Maymin, 2012. "A New Kind of Finance," Papers 1210.1588, arXiv.org.
    7. Serbera, Jean-Philippe & Paumard, Pascal, 2016. "The fall of high-frequency trading: A survey of competition and profits," Research in International Business and Finance, Elsevier, vol. 36(C), pages 271-287.
    8. Zenil, Hector & Soler-Toscano, Fernando & Dingle, Kamaludin & Louis, Ard A., 2014. "Correlation of automorphism group size and topological properties with program-size complexity evaluations of graphs and complex networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 341-358.
    9. Maxwell Murialdo & Arturo Cifuentes, 2022. "Quantifying Value with Effective Complexity," Journal of Interdisciplinary Economics, , vol. 34(1), pages 69-85, January.
    10. Mikołaj Morzy & Tomasz Kajdanowicz & Przemysław Kazienko, 2017. "On Measuring the Complexity of Networks: Kolmogorov Complexity versus Entropy," Complexity, Hindawi, vol. 2017, pages 1-12, November.

    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:1411.1924. 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.