中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Towards an Understanding of Cryptocurrency: A Comparative Analysis of Cryptocurrency, Foreign Exchange, and Stock

文献类型:会议论文

作者Jiaqi, Liang1,2; Linjing, Li1,3; Weiyun, Chen4; Daniel, Zeng1,2,3
出版日期2019
会议日期July 1-3, 2019
会议地点中国深圳
关键词Cryptocurrency Blockchain Financial Market Correlation Matrix Asset Tree Systemic Risk
英文摘要

Cryptocurrency is a cutting-edge Fintech innovation and currently a worldwide hotspot. However, the high-speed evolution of it has already caused a series of public security related events all around the world. Cryptocurrency was built initially as a possible implementation of digital currency, then various derivatives were created in a variety of fields such as financial transactions, capital management, and even non-monetary applications. This paper aims to offer analytical insights to help understand cryptocurrency by treating it as a financial asset. We position cryptocurrency by comparing its dynamic characteristics with two traditional and massively adopted financial assets: foreign exchange and stock. Based on the daily close prices about four years, we first construct the correlation matrices and asset trees of all three markets, then conduct comparisons on five properties: volatility, centrality, clustering structure, robustness, and risk. Our investigation suggests that the dynamics of cryptocurrency are more similar to stock. As to the robustness and clustering structure, our analysis shows cryptocurrency market is more fragile than stock market, thus it is currently a high-risk financial market. Our work is the first to study cryptocurrency with the help of well-understood financial assets and may shed some light on investment decisions, regulation, and legislation.

语种英语
源URL[http://ir.ia.ac.cn/handle/173211/23701]  
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
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 Artificial Intelligence, University of Chinese Academy of Sciences, Beijing, China
3.Shenzhen Artificial Intelligence and Data Science Institute (Longhua), Shenzhen, China
4.School of Management, Huazhong University of Science and Technology, Wuhan, China
推荐引用方式
GB/T 7714
Jiaqi, Liang,Linjing, Li,Weiyun, Chen,et al. Towards an Understanding of Cryptocurrency: A Comparative Analysis of Cryptocurrency, Foreign Exchange, and Stock[C]. 见:. 中国深圳. July 1-3, 2019.

入库方式: OAI收割

来源:自动化研究所

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