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Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19.

Authors :
James, Nick
Menzies, Max
Chan, Jennifer
Source :
Physica A. Mar2021, Vol. 565, pN.PAG-N.PAG. 1p.
Publication Year :
2021

Abstract

This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study of distribution extremities, and erratic behaviour through structural breaks. First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance. Second, we compare and contrast these two behaviours, and identify individual anomalous cryptocurrencies. Tether (USDT) and TrueUSD (TUSD) are consistent outliers with respect to their returns, while Holo (HOT), NEXO (NEXO), Maker (MKR) and NEM (XEM) are frequently observed as anomalous with respect to both behaviours and time. Even among a market known as consistently volatile, this identifies individual cryptocurrencies that behave most irregularly in their extreme and erratic behaviour and shows these were more affected during the COVID-19 market crisis. • This paper analyses the 51 largest cryptocurrencies by market capitalisation. • We introduce new methods of analysis of extreme and erratic behaviour of time series. • Hierarchical clustering of extremal distributions and change points is applied. • Inconsistency matrices between these behaviours and time periods are introduced. • Anomalous cryptocurrencies with respect to behaviour and time are identified. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
03784371
Volume :
565
Database :
Academic Search Index
Journal :
Physica A
Publication Type :
Academic Journal
Accession number :
147830350
Full Text :
https://doi.org/10.1016/j.physa.2020.125581