Modelling of cryptocurrency market using fractal and entropy analysis in COVID-19

- Danylchuk, H. (orcid.org/0000-0002-9909-2165), Kibalnyk, L. (orcid.org/0000-0001-7659-5627), Kovtun, Oksana (orcid.org/0000-0002-0159-730X), Kiv, A.E. (orcid.org/0000-0002-0991-2343), Pursky, Oleg (orcid.org/0000-0002-1230-0305) and Berezhna, Galina (orcid.org/0000-0002-0596-8534) (2020) Modelling of cryptocurrency market using fractal and entropy analysis in COVID-19 Proceedings of the Selected Papers of the Special Edition of International Conference on Monitoring, Modeling & Management of Emergent Economy (M3E2-MLPEED 2020) Odessa, Ukraine, July 13-18, 2020, 2713. pp. 352-371. ISSN 1613-0073

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Abstract

In this article, we present the results of simulation for cryptocurrency market based on fractal and entropy analysis using six cryptocurrencies in the first 20 of the capitalization rating. The application of the selected research methods is based on an analysis of existing methodologies and tools of economic and mathematical modeling of financial markets. It has been shown that individual methods are not relevant because they do not provide an adequate assessment of the given market, so an integrated approach is the most appropriate. Daily values of cryptocurrency pairs from August 2016 to August 2020 selected by the monitoring and modelling database. The application of fractal analysis led to the conclusion that the time series of selected cryptocurrencies were persistent. And the use of the window procedure for calculating the local Hurst coefficient allowed to detail and isolate the persistant and antipersistant gaps. Interdisciplinary methods, namely Tsallis entropy and wavelet entropy, are proposed to complement the results. The results of the research show that Tsallis entropy reveals special (crisis) conditions in the cryptocurrency market, despite the nature of the crises’ origin. Wavelet entropy is a warning indicator of crisis phenomena. It provides additional information on a small scale.

Item Type:	Article
Keywords:	cryptocurrency market, fractal analysis, wavelet entropy, Tsallis entropy, crisis, COVID-19
Subjects:	Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 00 Prolegomena. Fundamentals of knowledge and culture. Propaedeutics > 004 Computer science and technology. Computing. Data processing > 004.9 ІКТ ( Application-oriented computer-based techniques ) > 004.94 Simulation Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science
Divisions:	State institution of higher education «University of educational management» > Educational and scientific institute of management and psychology > Department of Public Administration and Project Management
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	13 Oct 2021 19:55
Last Modified:	13 Oct 2021 19:55
URI:	https://lib.iitta.gov.ua/id/eprint/727243

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