中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market

文献类型:会议论文

作者Jiaqi, Liang1,2; Linjing, Li1; Daniel, Zeng1,2; Yunwei, Zhao3
出版日期2018-12-27
会议日期9-11 Nov. 2018
会议地点Miami, FL, USA
关键词Cryptocurrency Blockchain Financial Market Correlation Matrix Asset Tree Systemic Risk
DOI10.1109/ISI.2018.8587395
英文摘要

Cryptocurrency is a rapid developing financial technology innovation which has attracted a large number of people around the world. The high-speed evolution, radical price fluctuations of cryptocurrency, and the inconsistent attitudes of monetary authorities in different countries have triggered panic and chain reactions towards the application and adoption of cryptocurrency and have caused public security related events. So far, a lot of researches and analyses have focused on just one or only a few number of cryptocurrencies, a comprehensive analysis of the whole cryptocurrency market and its systemic risk is still lacking. In this paper, we analyze the dynamics and systemic risk of the cryptocurrency market based on the public available price history. We first validated that the correlation matrix and asset tree are good tools to analyze the risk and stability of the cryptocurrency market. Furthermore, consistent with public perception, our quantitative analysis reveals that the cryptocurrency market is relatively fragile and unstable. Our work is the first to investigate the systemic risk of the whole cryptocurrency market and may shed some light on cryptocurrency related investment decision, regulation, and legislation.

语种英语
源URL[http://ir.ia.ac.cn/handle/173211/23563]  
专题自动化研究所_复杂系统管理与控制国家重点实验室_互联网大数据与安全信息学研究中心
通讯作者Jiaqi, Liang; Linjing, Li
作者单位1.The State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences, Beijing, China
2.School of Computer and Control Engineering, University of Chinese Academy of Sciences, Beijing, China
3.CNCERT/CC, Beijing, China
推荐引用方式
GB/T 7714
Jiaqi, Liang,Linjing, Li,Daniel, Zeng,et al. Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market[C]. 见:. Miami, FL, USA. 9-11 Nov. 2018.

入库方式: OAI收割

来源:自动化研究所

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