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Demythifying the belief in cryptocurrencies decentralized aspects. A study of cryptocurrencies time cross-correlations with common currencies, commodities and financial indices

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journal contribution
posted on 02.07.2020, 10:27 by SA Manavi, G Jafari, S Rouhani, M Ausloos
The main question of this article is about whether cryptocurrencies, within their decentralization aspects, are a real commodity or/and a virtual currency. To resolve such a dilemma, we compare 7 cryptocurrencies with a sample of the three types of monetary systems: 28 fiat money, 2 commodities, 2 commodity based indices, and 3 financial market indices. We use the matrix correlation method. We display dendrograms and observe “hierarchy clustering”, as a function of data coarse graining. In fact, we confirm that the cryptocurrencies are not decentralized. We observe also that most of the currencies in the world are not significantly correlated or present a weak correlation with cryptocurrencies. Our results show that the cryptocurrency market and Forex market belong to different system communities (or regions).

History

Citation

Physica A: Statistical Mechanics and its Applications, Volume 556, 2020, 124759

Author affiliation

School of Business

Version

AM (Accepted Manuscript)

Published in

Physica A: Statistical Mechanics and its Applications

Volume

556

Publisher

Elsevier BV

issn

0378-4371

Copyright date

2020

Available date

02/06/2020

Language

en

Publisher version

https://www.sciencedirect.com/science/article/pii/S0378437120303836