Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 송재욱 | - |
dc.date.accessioned | 2019-09-24T00:15:49Z | - |
dc.date.available | 2019-09-24T00:15:49Z | - |
dc.date.issued | 2019-08 | - |
dc.identifier.citation | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v. 527, UNSP 121339 | en_US |
dc.identifier.issn | 0378-4371 | - |
dc.identifier.issn | 1873-2119 | - |
dc.identifier.uri | https://www.sciencedirect.com/science/article/pii/S0378437119304893?via%3Dihub | - |
dc.identifier.uri | https://repository.hanyang.ac.kr/handle/20.500.11754/110600 | - |
dc.description.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 | en_US |
dc.description.sponsorship | This research was supported by the internal research project funded by the SNU Institute for Research in Finance and Economics, Republic of Korea (No. 0666A-20180003) and the National Research Foundation of Korea (NRF) grant funded by the Ministry of Science and ICT (No. 2018R1C1B5043835). | en_US |
dc.language.iso | en | en_US |
dc.publisher | ELSEVIER | en_US |
dc.subject | Cryptocurrency | en_US |
dc.subject | Market structure | en_US |
dc.subject | Bitcoin-Ethereum filtering | en_US |
dc.subject | Clustering | en_US |
dc.subject | Minimum spanning tree | en_US |
dc.title | Cluster analysis on the structure of the cryptocurrency market via Bitcoin-Ethereum filtering | en_US |
dc.type | Article | en_US |
dc.identifier.doi | 10.1016/j.physa.2019.121339 | - |
dc.relation.journal | PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | - |
dc.contributor.googleauthor | Song, Jung Yoon | - |
dc.contributor.googleauthor | Chang, Woojin | - |
dc.contributor.googleauthor | Song, Jae Wook | - |
dc.relation.code | 2019003237 | - |
dc.sector.campus | S | - |
dc.sector.daehak | COLLEGE OF ENGINEERING[S] | - |
dc.sector.department | DEPARTMENT OF INDUSTRIAL ENGINEERING | - |
dc.identifier.pid | jwsong | - |
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