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http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3599| Назва: | Complex Systems Theory and Crashes of Cryptocurrency Market |
| Автори: | Соловйов, Володимир Миколайович Belinskiy, Andriy |
| Ключові слова: | cryptocurrency Bitcoin complex system measures of complexity crash critical events recurrence plot recurrence quantification analysis permutation entropy complex networks quantum econophysics Heisenberg uncertainty principle random matrix theory indicator-precursor |
| Дата публікації: | 14-лют-2019 |
| Видавництво: | Springer |
| Бібліографічний опис: | Soloviev V. N. Complex Systems Theory and Crashes of Cryptocurrency Market / Vladimir N. Soloviev, Andriy Belinskiy // Information and Communication Technologies in Education, Research, and Industrial Applications (14th International Conference, ICTERI 2018, Kyiv, Ukraine, May 14-17, 2018, Revised Selected Papers) / Eds. : Ermolayev V., Suárez-Figueroa M., Yakovyna V., Mayr H., Nikitchenko M., Spivakovsky A. - Cham : Springer, 2019. - P. 276-297. - (Communications in Computer and Information Science, vol 1007). - DOI : 10.1007/978-3-030-13929-2_14 |
| Короткий огляд (реферат): | This article demonstrates the possibility of constructing indicators of critical and crash phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems have been used. The possibility of constructing dynamic measures of complexity as recurrent, entropy, network, quantum behaving in a proper way during actual pre-crash periods has been shown. This fact is used to build predictors of crashes and critical events phenomena on the examples of all the patterns recorded in the time series of the key cryptocurrency Bitcoin, the effectiveness of the proposed indicators-precursors of these falls has been identified. From positions, attained by modern theoretical physics the concept of economic Planck’s constant has been proposed. The theory on the economic dynamic time series related to the cryptocurrencies market has been approved. Then, combining the empirical cross-correlation matrix with the random matrix theory, we mainly examine the statistical properties of cross-correlation coefficient, the evolution of the distribution of eigenvalues and corresponding eigenvectors of the global cryptocurrency market using the daily returns of 24 cryptocurrencies price time series all over the world from 2013 to 2018. The result has indicated that the largest eigenvalue reflects a collective effect of the whole market, and is very sensitive to the crash phenomena. It has been shown that both the introduced economic mass and the largest eigenvalue of the matrix of correlations can act like quantum indicator-predictors of falls in the market of cryptocurrencies. |
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| URI (Уніфікований ідентифікатор ресурсу): | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3599 https://doi.org/10.1007/978-3-030-13929-2_14 |
| ISBN: | 978-3-030-13929-2 |
| Розташовується у зібраннях: | Кафедра інформатики та прикладної математики |
Файли цього матеріалу:
| Файл | Опис | Розмір | Формат | |
|---|---|---|---|---|
| sb.pdf | Chapter | 2.43 MB | Adobe PDF | Переглянути/Відкрити |
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