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Quantum econophysical precursors of cryptocurrency crashes

Соловйов, Володимир Миколайович; Serdiuk, Oleksandr

URI: http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3570
https://doi.org/10.31651/2076-5886-2019-1-3-16

Date: 2019

Abstract:

This article demonstrates the possibility of constructing indicators of critical and crash phenomena in the volatile market of cryptocurrency. The possibility of constructing dynamic measures of complexity as quantum econophysical 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 Planсk'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 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 indicators-predictors of falls in the market of cryptocurrencies. У статті демонструється можливість побудови показників критичних та кризових явищ на волатильному ринку криптовалюти. Показана можливість побудови динамічних мір складності як квантової екофізичної поведінки належним чином протягом фактичних періодів перед збоєм. Цей факт використовується для побудови прогнозів катастроф та явищ критичних подій на прикладах усіх закономірностей, зафіксованих у часовому ряду ключової криптовалюти Bitcoin, виявлено ефективність запропонованих показників-попередників цих падінь. З позицій, отриманих сучасною теоретичною фізикою, запропонована концепція економічної константи Пласска. Затверджена теорія щодо економічних динамічних часових рядів, пов'язаних з ринком криптовалют. Тоді, поєднуючи емпіричну матрицю перехресної кореляції з теорією випадкової матриці, ми в основному вивчаємо статистичні властивості коефіцієнта перехресної кореляції, еволюцію розподілу власних значень та відповідних власних векторів світового ринку криптовалют, використовуючи щоденну віддачу криптовалют із цінового часу серіал у всьому світі з 2013 по 2018 рік. Результат показав, що найбільше власне значення відображає колективний ефект усього ринку і є дуже чутливим до явищ краху. Показано, що як введена економічна маса, так і найбільше власне значення матриці кореляцій можуть діяти як квантові показники-провісники падіння на ринку криптовалют.

Description:

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