Analysis of cross-correlation between Bitcoin and the stock market

- Соловйов, В.М. (orcid.org/0000-0002-4945-202X), Соловйова, В.В. (orcid.org/0000-0002-8090-9569), Матвійчук, А. (orcid.org/0000-0002-8911-5677), Семеріков, С.О. (orcid.org/0000-0003-0789-0272) and Бєлінський, A. (orcid.org/0000-0002-2821-2895) (2022) Analysis of cross-correlation between Bitcoin and the stock market In: Тези доповідей VІ Міжнародної науково-практичної конференції «Інформаційні технології в освіті, науці і техніці» (ІТОНТ-2022), (Черкаси, 23-25 червня 2022 р.) . ЧДТУ, м. Черкаси, Україна, pp. 114-117.

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Abstract

In this study, we examine cross-correlation relationships between stock and cryptocurrency markets. The measures of complexity, which can serve as indicators (indicators-precursors) in both markets are retrieved from Detrended Cross-Correlations Analysis (DCCA). On the example of the S&P 500 and HSI stock indices and the Bitcoin cryptocurrency, which mostly determines the existence of the crypto market, we assess the variation of cross-correlations in both markets. Using the sliding window approach, we localize their dynamics across time and indicate a high degree of non-linearity with dominant antipersistency during crash periods for each index. The existence of indicators that are able to detect the periods of high and low cross-correlations for stock and crypto markets provides prospects for reliable trading with several pairs of assets and effective diversification of their risks.

Item Type:	Book Section
Keywords:	stock market, crypto market, cross-correlations, crash, 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
Divisions:	Institute for Digitalisation of Education > Department of Cloud-Oriented Systems and Artificial Intelligence in Education
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	05 Jan 2023 12:41
Last Modified:	05 Jan 2023 12:41
URI:	https://lib.iitta.gov.ua/id/eprint/733764

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