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Назва: Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory
Автори: Соловйов, Володимир Миколайович
Yevtushenko, Symon P.
Batareyev, Viktor V.
Ключові слова: stock market
cryptocurrency
Bitcoin
complex system
measures of complexity
crash
Random Matrix Theory
indicator-precursor
Дата публікації: 9-лют-2020
Видавництво: Arnold E. Kiv, Serhiy O. Semerikov, Vladimir N. Soloviev, Andrii M. Striuk
Бібліографічний опис: Soloviev V. N. Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory [Electronic resource] / Vladimir N. Soloviev, Symon P. Yevtushenko, Viktor V. Batareyev // Computer Science & Software Engineering : Proceedings of the 2nd Student Workshop (CS&SE@SW 2019), Kryvyi Rih, Ukraine, November 29, 2019 / Edited by : Arnold E. Kiv, Serhiy O. Semerikov, Vladimir N. Soloviev, Andrii M. Striuk. – P. 87-100. – (CEUR Workshop Proceedings (CEUR-WS.org), Vol. 2546). – Access mode : http://ceur-ws.org/Vol-2546/paper05.pdf
Короткий огляд (реферат): This article demonstrates the comparative possibility of constructing indicators of critical and crash phenomena in the volatile market of cryptocurrency and developed stock market. Then, combining the empirical cross-correlation matrix with the Random Matrix Theory, we mainly examine the statistical properties of cross-correlation coefficients, the evolution of the distribution of eigenvalues and corresponding eigenvectors in both markets using the daily returns of price time series. 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 introduced the largest eigenvalue of the matrix of correlations can act like indicators-predictors of falls in both markets.
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URI (Уніфікований ідентифікатор ресурсу): http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3681
https://doi.org/10.31812/123456789/3681
ISSN: 1613-0073
Розташовується у зібраннях:Кафедра інформатики та прикладної математики

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