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Dependency structures in cryptocurrency market from high to low frequency

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  • Antonio Briola
  • Tomaso Aste

Abstract

We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance and economic meaningfulness of the networks. Results give a deep insight into the evolutionary process of the time dependent hierarchical organization of the system under analysis. A decrease in correlation between pairs of cryptocurrencies is observed for finer time sampling resolutions. A growing structure emerges for coarser ones, highlighting multiple changes in the hierarchical reference role played by mainstream cryptocurrencies. This effect is studied both in its pairwise realizations and intra-sector ones.

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  • Antonio Briola & Tomaso Aste, 2022. "Dependency structures in cryptocurrency market from high to low frequency," Papers 2206.03386, arXiv.org, revised Dec 2022.
    • Handle: RePEc:arx:papers:2206.03386
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    References listed on IDEAS

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    13. Antonio Briola & Jeremy Turiel & Riccardo Marcaccioli & Alvaro Cauderan & Tomaso Aste, 2021. "Deep Reinforcement Learning for Active High Frequency Trading," Papers 2101.07107, arXiv.org, revised Aug 2023.
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    Cited by:

    1. David Vidal-Tom'as & Antonio Briola & Tomaso Aste, 2023. "FTX's downfall and Binance's consolidation: The fragility of centralised digital finance," Papers 2302.11371, arXiv.org, revised Dec 2023.
    2. Fakhfekh, Mohamed & Bejaoui, Azza & Bariviera, Aurelio F. & Jeribi, Ahmed, 2024. "Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    3. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Jun 2024.
    4. Antonio Briola & David Vidal-Tom'as & Yuanrong Wang & Tomaso Aste, 2022. "Anatomy of a Stablecoin's failure: the Terra-Luna case," Papers 2207.13914, arXiv.org, revised Sep 2022.
    5. Briola, Antonio & Vidal-Tomás, David & Wang, Yuanrong & Aste, Tomaso, 2023. "Anatomy of a Stablecoin’s failure: The Terra-Luna case," Finance Research Letters, Elsevier, vol. 51(C).
    6. Yuanrong Wang & Antonio Briola & Tomaso Aste, 2023. "Topological Portfolio Selection and Optimization," Papers 2310.14881, arXiv.org.
    7. Vidal-Tomás, David & Briola, Antonio & Aste, Tomaso, 2023. "FTX's downfall and Binance's consolidation: the fragility of centralised digital finance," LSE Research Online Documents on Economics 119902, London School of Economics and Political Science, LSE Library.
    8. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "HLOB -- Information Persistence and Structure in Limit Order Books," Papers 2405.18938, arXiv.org, revised Jun 2024.

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