将加密货币的高频价格动态分解为反复和杂的组件
Marcin Wątorek1, Maria Skupień2, Jarosław Kwapień3
1Faculty of Computer Science and Telecommunications, Cracow University of Technology, ul. Warszawska 24, 31-155 Kraków, Poland.
Chaos (Woodbury, N.Y.)
|December 7, 2023
概括
加密货币市场表现出明显的时间模式,活动激增与全球交易会和美国宏观经济数据发布保持一致. 外部因素驱动反复出现的模式,而内部动态似乎很大程度上是随机的.
科学领域:
- * 量化金融 量化金融
- * 市场微观结构
- * 数字资产是数字资产.
背景情况:
- * 与传统股票市场相比,加密货币市场表现出独特的时间动态,这是由于持续运行.
- * 了解这些模式对于导航不断变化的数字资产格局的投资者和监管机构至关重要.
- *以前的研究已经探讨了加密货币的波动性,但对详细的时间活动模式却不那么关注.
研究的目的:
- * 调查主要加密货币 (比特币,以太坊,多吉币,WINkLink) 的日内和周内活动时间模式.
- * 用关联矩阵形式主义将市场活动分解为循环和噪声组件.
- * 确定影响加密货币市场动态及其融入全球金融市场的因素.
主要方法:
- *从2020年1月到2022年12月,每10秒抽取对数回报,交易量和交易数量的分析.
- * 市场活动的分解为日内和周内周期.
- * 应用相关性矩阵形式主义来分离反复和噪声组件.
主要成果:
- *观察到三个不同的增强活动阶段,与亚洲,欧洲和美国交易会相对应.
- * 每隔15分钟的活动激增,特别是在一个小时内,表明算法交易的影响.
- *比特币和以太坊活动的爆发与美国宏观经济报告发布相关 (例如,非农业工资单,CPI).
- *2022年在日常活动模式中显示出最高的相关性,与美国股市相关性保持一致.
- * 外部因素被确定为可重复的市场动态的驱动因素,而内部因素显示随机性与随机矩阵理论一致.
结论:
- *加密货币市场表现出独特的,取决于会话的时间活动模式.
- *算法交易和外部宏观经济事件显著影响加密货币市场动态.
- *这些发现支持加密货币在更广泛的全球金融体系中日益集成.
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