paper
Dependency structures in cryptocurrency market from high to low frequency
Antonio Briola, Tomaso Aste
Dependency structures in cryptocurrency market from high to low frequency
Antonio Briola, Tomaso Aste
paper2022-06-07English
high frequency tradingarxiv
Description
We investigate logarithmic price returns cross-correlations at different time horizons for a set of 25 liquid cryptocurrencies traded on the FTX digital currency exchange. We study how the structure of the Minimum Spanning Tree (MST) and the Triangulated Maximally Filtered Graph (TMFG) evolve from high (15 s) to low (1 day) frequency time resolutions. For each horizon, we test the stability, statistical significance and economic meaningfulness of the networks. Results give a deep insight into th...
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