Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market
Jiaqi, Liang1,2; Linjing, Li1; Daniel, Zeng1,2; Yunwei, Zhao3
2018-12-27
Conference Name2018 IEEE International Conference on Intelligence and Security Informatics (ISI)
Conference Date9-11 Nov. 2018
Conference PlaceMiami, FL, USA
Abstract

Cryptocurrency is a rapid developing financial technology innovation which has attracted a large number of people around the world. The high-speed evolution, radical price fluctuations of cryptocurrency, and the inconsistent attitudes of monetary authorities in different countries have triggered panic and chain reactions towards the application and adoption of cryptocurrency and have caused public security related events. So far, a lot of researches and analyses have focused on just one or only a few number of cryptocurrencies, a comprehensive analysis of the whole cryptocurrency market and its systemic risk is still lacking. In this paper, we analyze the dynamics and systemic risk of the cryptocurrency market based on the public available price history. We first validated that the correlation matrix and asset tree are good tools to analyze the risk and stability of the cryptocurrency market. Furthermore, consistent with public perception, our quantitative analysis reveals that the cryptocurrency market is relatively fragile and unstable. Our work is the first to investigate the systemic risk of the whole cryptocurrency market and may shed some light on cryptocurrency related investment decision, regulation, and legislation.

KeywordCryptocurrency Blockchain Financial Market Correlation Matrix Asset Tree Systemic Risk
DOI10.1109/ISI.2018.8587395
Indexed ByEI
Language英语
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Document Type会议论文
Identifierhttp://ir.ia.ac.cn/handle/173211/23563
Collection复杂系统管理与控制国家重点实验室_互联网大数据与信息安全
Corresponding AuthorJiaqi, Liang; Linjing, Li
Affiliation1.The State Key Laboratory of Management and Control for Complex Systems, Institute of Automation, Chinese Academy of Sciences, Beijing, China
2.School of Computer and Control Engineering, University of Chinese Academy of Sciences, Beijing, China
3.CNCERT/CC, Beijing, China
First Author AffilicationInstitute of Automation, Chinese Academy of Sciences
Corresponding Author AffilicationInstitute of Automation, Chinese Academy of Sciences
Recommended Citation
GB/T 7714
Jiaqi, Liang,Linjing, Li,Daniel, Zeng,et al. Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market[C],2018.
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