Stocks and Cryptocurrencies: Anti-fragile or Robust?

TL;DR

This paper introduces a measure of antifragility for complex systems and applies it to stock and cryptocurrency markets, finding that top performers tend to be robust rather than antifragile.

Contribution

It defines a simple antifragility measure based on return and perturbation, and applies it to real financial data to analyze system resilience.

Findings

Top performers in markets tend to be robust, not antifragile.

The proposed measure helps quantify antifragility in financial systems.

Further exploration of antifragility definitions is needed for better understanding.

Abstract

In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of antifragility for complex dynamical systems. In this work we use our antifragility measure to analyze real data from return prices in the stock and cryptocurrency markets. Our definition of antifragility is the product of the return price and a perturbation. We explore different types of perturbations that typically arise from within the system. Our results suggest that for both the stock market and the cryptocurrency market, the tendency among the 'top performers' is to be robust rather than antifragile. It would be important to explore other possible definitions of antifragility to understand its role in financial markets and in complex dynamical systems in general.