Signature of maturity in cryptocurrency volatility

TL;DR

This paper analyzes the evolution of cryptocurrency price fluctuations over ten years, revealing that their inequality levels decrease over time, approaching those of national currencies, with comparisons to stock prices.

Contribution

It introduces a comprehensive analysis of fluctuation inequalities in cryptocurrencies using measures like Gini, Kolkata, and Q factor, highlighting their convergence with national currencies.

Findings

Cryptocurrency fluctuations initially higher than national currencies.

Fluctuation inequality levels decrease over time.

Cryptocurrency fluctuations tend to resemble those of national currencies.

Abstract

We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata indices, and also the $Q$ factor (given by the ratio between the highest value and the average value) of these fluctuations. We compare the results with the equivalent quantities in some of the more prominent national currencies and see that while the fluctuations (or inequalities in such fluctuations) for cryptocurrencies were initially significantly higher than national currencies, over time the fluctuation levels of cryptocurrencies tend towards the levels characteristic of national currencies. We also compare similar quantities for a few prominent stock prices.