论文标题
加密货币市场的依赖性结构从高频到低频
Dependency structures in cryptocurrency market from high to low frequency
论文作者
论文摘要
我们调查了对数价格在不同时间范围内的对数价格回报，以在FTX数字货币交换上交易的25种液体加密货币。我们研究最小跨越树（MST）的结构和三角剖分的最大过滤图（TMFG）如何从高（15 s）到低（1天）频率时间分辨率发展。对于每个视野，我们测试网络的稳定性，统计意义和经济意义。结果可以深入了解分析系统的时间依赖性分层组织的进化过程。对于更精细的时间采样解决方案，观察到了加密货币对之间的相关性减少。越来越粗糙的结构出现了，突出了主流加密货币扮演的分层参考作用的多个变化。在成对实现和部门内部研究中都研究了这种效果。
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance and economic meaningfulness of the networks. Results give a deep insight into the evolutionary process of the time dependent hierarchical organization of the system under analysis. A decrease in correlation between pairs of cryptocurrencies is observed for finer time sampling resolutions. A growing structure emerges for coarser ones, highlighting multiple changes in the hierarchical reference role played by mainstream cryptocurrencies. This effect is studied both in its pairwise realizations and intra-sector ones.
