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- W4295012275 endingPage "102368" @default.
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- W4295012275 abstract "The cryptocurrency market is an emerging market that is characterized by intense volatility and therefore the study of its dynamics presents increased interest. The present work investigates the issue of the critical dynamics of a financial complex system approaching a crash, by using the Method of Critical Fluctuation (MCF) which is known for its ability to uncover critical dynamics. Specifically, we study the recent crash that took place in the cryptocurrency market (starting on 12 May 2021), by analyzing the “Contracts for Difference” (CFDs) prices on Bitcoin/USD (Bitcoin to US-Dollar exchange rate) at five different high frequency trading time intervals (60, 30, 15, 5 and 1 min). The results show that, for the 60-min and 30-min sampling intervals, a specific sequence of indications is identified, in agreement to the evolution towards extreme events in other complex systems, such as earthquakes. This sequence of indications isn't maintained as the sampling frequency is increased. Notably, the existence of critical dynamics during the system's evolution has been detected both in equilibrium and out-of-equilibrium by means of the same analysis method (MCF). The obtained results indicate that the MCF could provide useful information for portfolio analysis and risk management." @default.
- W4295012275 created "2022-09-09" @default.
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- W4295012275 date "2022-11-01" @default.
- W4295012275 modified "2023-09-29" @default.
- W4295012275 title "Critical dynamics related to a recent Bitcoin crash" @default.
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- W4295012275 doi "https://doi.org/10.1016/j.irfa.2022.102368" @default.
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