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 |
DOI | 10.1109/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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