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Dependency structures in cryptocurrency market from high to low frequency

Antonio BriolaTomaso Aste
Jun 2022
摘要
We investigate logarithmic price returns cross-correlations at different timehorizons for a set of 25 liquid cryptocurrencies traded on the FTX digitalcurrency exchange. We study how the structure of the Minimum Spanning Tree(MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve across timehorizons from high (15 seconds) to low (1 day) frequency time resolutions. Foreach horizon, we test the stability, statistical significance and economicmeaningfulness of the networks. Results give a deep insight into theevolutionary process of the time dependent hierarchical organization of thesystem under analysis. A decrease in correlation between pairs ofcryptocurrencies is observed for finer time sampling resolutions. A growingstructure emerges for coarser ones, highlighting multiple changes in thehierarchical reference role played by mainstream cryptocurrencies. This effectis studied both in its inter- and intra-sector realizations.
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