Open Conference Systems, StatPhys 27 Main Conference

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Statistical sygnatures of emergence of world cryptocurrency mature market
Stanisław Drożdż

##manager.scheduler.building##: Edificio San Jose Aula Juan Pablo II
Date: 2019-07-12 11:00 AM – 11:15 AM
Last modified: 2019-06-09


The emergence of money constitutes one of the most significant achievements of civilizations. By means of a process analogous to spontaneous symmetry breaking in physical systems, money acquires the status of a universally demanded commodity, and with it an inherent ability to serve as a medium of exchange. In the contemporary high-technology era, information can readily become a high-value commodity, and the recent invention of the Bitcoin and subsequently further cryptocurrencies as the candidate money naturally reflects this fact. At present, the cryptocurrency market as a whole exceeds, in both transaction volume and capitalization, many traditional and well-established financial markets and it constitutes a phenomenon also unique in that  given the availability of high-frequency trading data since its inception and the rapidity of evolution, it provides new windows for rigorously exploring the entire trajectory towards maturity of a currency market. A question here addressed is whether, and to what extent, the emerging cryptocurrency market exhibits the stylized statistical features which universally characterize mature global markets, and in particular the Foreign exchange market (Forex). Here, it is demonstrated that over the past two years the Bitcoin market, and following it several other cryptocurrencies, have become truly indistinguishable from mature markets according to the most important complexity characteristics, related to the return distribution, temporal correlations, and multi-scaling effects, even including their generalization to discrete scale invariance, which manifests itself through log-periodic oscillations accompanying the large-scale trend reversals. The present study, which constitues an extension of the one presented for the Bitcoin in ref.[1], shows that other cryptocurrencies start following the same statistical hallmarks which are empirically observed for all 'mature' markets like stocks, commodities or Forex [2]. Even more, the quantitative characteristics of cross-correlations among different pairs of 100 largest capitalization cryptocurrencies appear to closely resemble those of the Forex [3] thus indicating emergence of a global cryptocurrency market alternative to the Forex.

[1] S. Drożdż, R. Gębarowski, L. Minati, P. Oświęcimka and M. Wątorek, Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects, Chaos: An Interdisciplinary Journal of Nonlinear Science 28, 071101 (2018)
[2] J. Kwapień and S. Drożdż, Physical approach to complex systems, Physics Reports, 515, 115-226 (2012)
[3] S. Drożdż, A.Z. Górski and J. Kwapień, World currency exchange rate cross-correlations, Eurpean Physical Journal B58, 499–502 (2007)