Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory

- Soloviev, V.N. (orcid.org/0000-0002-4945-202X), Yevtushenko, Symon P. and Batareyev, Viktor V. (2019) Comparative analysis of the cryptocurrency and the stock markets using the Random Matrix Theory Computer Science & Software Engineering : Proceedings of the 2nd Student Workshop (CS&SE@SW 2019), Kryvyi Rih, Ukraine, November 29, 2019 (2546). pp. 87-100. ISSN 1613-0073

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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.

Item Type: Article
Keywords: stock market, cryptocurrency, Bitcoin, complex system, measures of complexity, crash, Random Matrix Theory, indicator-precursor
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
Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 37 Education > 378 Higher education. Universities. Academic study
Divisions: Information Technologies and Learning Tools > Joint laboratory with SIHE “Kryvyi Rih National University”
Depositing User: Сергій Олексійович Семеріков
Date Deposited: 27 Apr 2020 09:37
Last Modified: 27 Apr 2020 09:37
URI: http://lib.iitta.gov.ua/id/eprint/720100

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