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Dependency Structures in Cryptocurrency Market from High to Low Frequency
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 h...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9689460/ https://www.ncbi.nlm.nih.gov/pubmed/36359637 http://dx.doi.org/10.3390/e24111548 |