2022/11/22 by Kukreti, Vishwas
#FOS: Economics and business #Statistical Finance (q-fin.ST)
paper · doi:10.48550/arxiv.2211.12356
Being archetypal complex systems, financial markets exhibit rich set of dynamics in their interactions. In this paper, we focus on the recently evolved cryptocurrency market as an example of a complex system and analyse the evolution of cross correlation structure of cryptocurrencies in the 5 year period from 2017 to 2022. We observe characteristic correlation structures in the observation time window duration and use these specific structures to cluster the cryptocurrency market in 4 market states.