Dynamic relationship between XRP price and correlation tensor spectra of the transaction network

TL;DR

This paper analyzes the dynamic relationship between XRP cryptocurrency prices and the spectral properties of transaction network correlation tensors, revealing distinct behaviors during bubble and non-bubble periods and identifying key driver nodes.

Contribution

It introduces a detailed method for analyzing correlation tensor spectra in XRP transaction networks and uncovers how these spectra relate to market bubbles and key drivers.

Findings

XRP price shows strong anti-correlation with largest singular values during bubbles.

Distinct spectral dependence observed between bubble and non-bubble periods.

Identification of driver nodes influencing market dynamics during bubbles.

Abstract

The emergence of cryptoassets has sparked a paradigm shift in the world of finance and investment, ushering in a new era of digital assets with profound implications for the future of currency and asset management. A recent study showed that during the bubble period around the year, 2018, the price of cryptoasset, XRP has a strong anti correlation with the largest singular values of the correlation tensors obtained from the weekly XRP transaction networks. In this study, we provide a detailed analysis of the method of correlation tensor spectra for XRP transaction networks. We calculate and compare the distribution of the largest singular values of the correlation tensor using the random matrix theory with the largest singular values of the empirical correlation tensor. We investigate the correlation between the XRP price and the largest singular values for a period spanning two years. We also uncover the distinct dependence between XRP price and the singular values for bubble and non-bubble periods. The significance of time evolution of singular values is shown by comparison with the evolution of singular values of the reshuffled correlation tensor. Furthermore, we identify a set of driver nodes in the transaction networks that drives the market during the bubble period using the singular vectors.