UCL Discovery
UCL home » Library Services » Electronic resources » UCL Discovery

Cryptocurrency market structure: connecting emotions and economics

Aste, T; (2019) Cryptocurrency market structure: connecting emotions and economics. Digital Finance , 1 pp. 5-21. 10.1007/s42521-019-00008-9. Green open access

[thumbnail of Aste_Aste2019_Article_CryptocurrencyMarketStructureC.pdf]
Aste_Aste2019_Article_CryptocurrencyMarketStructureC.pdf - Published Version

Download (881kB) | Preview


We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018. This is the first study of the whole cryptocurrency market structure. It introduces several rigorous innovative methodologies applicable to this and to several other complex systems where a large number of variables interact in a non-linear way, which is a distinctive feature of the digital economy. The analysis of the dependency structure reveals that prices are significantly correlated with sentiment. The major, most capitalised cryptocurrencies, such as bitcoin, have a central role in the price correlation network but only a marginal role in the sentiment network and in the network describing the interactions between the two. The study of the causality structure reveals a causality network that is consistently related with the correlation structures and shows that both prices cause sentiment and sentiment cause prices across currencies with the latter being stronger in size but smaller in number of significative interactions. Overall our study uncovers a complex and rich structure of interrelations where prices and sentiment influence each other both instantaneously and with lead-lag causal relations. A major finding is that minor currencies, with small capitalisation, play a crucial role in shaping the overall dependency and causality structure. Despite the high level of noise and the short time-series we verified that these networks are significant with all links statistically validated and with a structural organisation consistently reproduced across all networks.

Type: Article
Title: Cryptocurrency market structure: connecting emotions and economics
Open access status: An open access version is available from UCL Discovery
DOI: 10.1007/s42521-019-00008-9
Publisher version: https://doi.org/10.1007/s42521-019-00008-9
Language: English
Additional information: Copyright information © The Author(s) 2019 Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Keywords: Cryptocurrencies · Dependency · Causality · Networks
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10069802
Downloads since deposit
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months

Archive Staff Only

View Item View Item