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arXiv · 2211.12356

Early Warning Signals for Cryptocurrency Market States

Vishwas Kukreti
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Abstract

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.

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Vishwas Kukreti. 2022-11-22. Early Warning Signals for Cryptocurrency Market States. https://arxiv.org/abs/2211.12356

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