Crypto price discovery through correlation networks

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 clas...

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Veröffentlicht in:	Annals of operations research Jg. 299; H. 1-2; S. 443 - 457
Hauptverfasser:	Giudici, Paolo, Polinesi, Gloria
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.04.2021 Springer Springer Nature B.V
Schlagworte:	Autocorrelation (Statistics) Business and Management Combinatorics Crypto-currencies Digital currencies Economic models Exchanging Forecasts and trends Graph theory Operations research Operations Research/Decision Theory Prices Prices and rates Pricing S.I.: Recent Developments in Financial Modeling and Risk Management Securities Theory of Computation Italy Correlation networks Random matrix theory Minimum spanning trees Bitcoin exchanges Bitcoin price discovery
ISSN:	0254-5330, 1572-9338
Online-Zugang:	Volltext
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