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Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering

Title
Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering
Author
송재욱
Keywords
Cryptocurrency; Market structure; Bitcoin-Ethereum filtering; Clustering; Minimum spanning tree
Issue Date
2019-08
Publisher
ELSEVIER
Citation
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v. 527, UNSP 121339
Abstract
The purpose of this research is to analyze the structure of the cryptocurrency market based on the correlation-based agglomerative hierarchical clustering and minimum spanning tree. In order to detect a reasonable and distinct collective behavior among the market entities, we propose a filtering mechanism, called Bitcoin-Ethereum filtering to exclude their linear influences to other cryptocurrencies. In this regard, we carefully examine the market structures for the cases of before and after filtering in terms of the Total, Pre-, and Post-regulation periods. Based on the results, we discover the leadership of the Bitcoin and Ethereum in the market, six homogeneous clusters composed of relatively less-traded cryptocurrencies, and transformation of the market structure after the announcement of regulations from various countries. (C) 2019 Elsevier B.V. All rights reserved
URI
https://www.sciencedirect.com/science/article/pii/S0378437119304893?via%3Dihubhttp://repository.hanyang.ac.kr/handle/20.500.11754/110600
ISSN
0378-4371; 1873-2119
DOI
10.1016/j.physa.2019.121339
Appears in Collections:
COLLEGE OF ENGINEERING[S](공과대학) > INDUSTRIAL ENGINEERING(산업공학과) > Articles
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