We aim to understand the dynamics of crypto asset prices and, specifically, how price information is transmitted among different bitcoin market exchanges, and between bitcoin markets and traditional ones. To this aim, we hierarchically cluster bitcoin prices from different exchanges, as well as classic assets, by enriching the correlation based minimum spanning tree method with a preliminary filtering method based on the random matrix approach. Our main empirical findings are that: (i) bitcoin exchange prices are positively related with each other and, among them, the largest exchanges, such as Bitstamp, drive the prices; (ii) bitcoin exchange prices are not affected by classic asset prices, but their volatilities are, with a negative and lagged effect.
Crypto price discovery through correlation networks / Giudici, Paolo; Polinesi, Gloria. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 1572-9338. - 299:1-2(2021), pp. 443-457. [10.1007/s10479-019-03282-3]
Crypto price discovery through correlation networks
Polinesi, Gloria
2021-01-01
Abstract
We aim to understand the dynamics of crypto asset prices and, specifically, how price information is transmitted among different bitcoin market exchanges, and between bitcoin markets and traditional ones. To this aim, we hierarchically cluster bitcoin prices from different exchanges, as well as classic assets, by enriching the correlation based minimum spanning tree method with a preliminary filtering method based on the random matrix approach. Our main empirical findings are that: (i) bitcoin exchange prices are positively related with each other and, among them, the largest exchanges, such as Bitstamp, drive the prices; (ii) bitcoin exchange prices are not affected by classic asset prices, but their volatilities are, with a negative and lagged effect.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
