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Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory
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| dc.contributor.author | Соловйов, Володимир Миколайович | |
| dc.contributor.author | Yevtushenko, Symon P. | |
| dc.contributor.author | Batareyev, Viktor V. | |
| dc.date.accessioned | 2020-02-18T08:29:29Z | |
| dc.date.available | 2020-02-18T08:29:29Z | |
| dc.date.issued | 2020-02-09 | |
| dc.identifier.citation | 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 | uk_UA |
| dc.identifier.issn | 1613-0073 | |
| dc.identifier.uri | http://elibrary.kdpu.edu.ua/xmlui/handle/123456789/3681 | |
| dc.identifier.uri | https://doi.org/10.31812/123456789/3681 | |
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| dc.description.abstract | 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. | uk_UA |
| dc.language.iso | en | uk_UA |
| dc.publisher | Arnold E. Kiv, Serhiy O. Semerikov, Vladimir N. Soloviev, Andrii M. Striuk | uk_UA |
| dc.subject | stock market | uk_UA |
| dc.subject | cryptocurrency | uk_UA |
| dc.subject | Bitcoin | uk_UA |
| dc.subject | complex system | uk_UA |
| dc.subject | measures of complexity | uk_UA |
| dc.subject | crash | uk_UA |
| dc.subject | Random Matrix Theory | uk_UA |
| dc.subject | indicator-precursor | uk_UA |
| dc.title | Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory | uk_UA |
| dc.type | Article | uk_UA |
