Complexity in economic and social systems: cryptocurrency market at around COVID-19
Stanis{\l}aw Dro\.zd\.z, Jaros{\l}aw Kwapie\'n, Pawe{\l}, O\'swi\k{e}cimka, Tomasz Stanisz, and Marcin W\k{a}torek

TL;DR
This study analyzes the complexity of the cryptocurrency market during COVID-19 using multifractal formalism, cross-correlation, and network analysis, revealing significant structural and dynamic changes during the pandemic period.
Contribution
It provides a comprehensive multi-perspective analysis of cryptocurrency market complexity during COVID-19, integrating multifractal, correlation, and network approaches for the first time.
Findings
Market returns were multifractal with bifractality during volatile periods.
Market topology shifted from distributed to centralized during major events.
COVID-19 caused notable structural and dynamic changes in the market.
Abstract
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including the cryptocurrency market, belong to the economical sphere of human activity that seems to be the most interrelated and complex. The cryptocurrency market complexity can be studied from different perspectives. First, the dynamics of the cryptocurrency exchange rates to other cryptocurrencies and fiat currencies can be studied and quantified by means of multifractal formalism. Second, coupling and decoupling of the cryptocurrencies and the conventional assets can be investigated with the advanced cross-correlation analyses based on fractal analysis. Third, an internal structure of the cryptocurrency market can also be a subject of analysis that exploits, for example, a network representation of the market. We…
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Taxonomy
TopicsComplex Systems and Time Series Analysis · Complex Network Analysis Techniques · Theoretical and Computational Physics
