英文标题：
《Cryptocurrency market structure: connecting emotions and economics》
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作者：
Tomaso Aste
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最新提交年份：
2019
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英文摘要：
  We study the dependency and causality structure of the cryptocurrency market investigating collective movements of both prices and social sentiment related to almost two thousand cryptocurrencies traded during the first six months of 2018. This is the first study of the whole cryptocurrency market structure. It introduces several rigorous innovative methodologies applicable to this and to several other complex systems where a large number of variables interact in a non-linear way, which is a distinctive feature of the digital economy. The analysis of the dependency structure reveals that prices are significantly correlated with sentiment. The major, most capitalised cryptocurrencies, such as bitcoin, have a central role in the price correlation network but only a marginal role in the sentiment network and in the network describing the interactions between the two. The study of the causality structure reveals a causality network that is consistently related with the correlation structures and shows that both prices cause sentiment and sentiment cause prices across currencies with the latter being stronger in size but smaller in number of significative interactions. Overall our study uncovers a complex and rich structure of interrelations where prices and sentiment influence each other both instantaneously and with lead-lag causal relations. A major finding is that minor currencies, with small capitalisation, play a crucial role in shaping the overall dependency and causality structure. Despite the high level of noise and the short time-series we verified that these networks are significant with all links statistically validated and with a structural organisation consistently reproduced across all networks.
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中文摘要：
我们研究了加密货币市场的依赖性和因果关系结构，调查了2018年上半年交易的近2000种加密货币的价格和社会情绪的集体变动。这是对整个加密货币市场结构的首次研究。它介绍了几种严格的创新方法，适用于这一系统和其他一些复杂系统，其中大量变量以非线性方式相互作用，这是数字经济的一个显著特征。对依赖结构的分析表明，价格与情绪显著相关。主要的、资本化程度最高的加密货币，如比特币，在价格关联网络中起着核心作用，但在情绪网络和描述两者之间相互作用的网络中只起着边缘作用。对因果结构的研究揭示了一个与相关结构一致相关的因果网络，并表明价格引起情绪，情绪引起跨货币的价格，后者在规模上更强，但在有意义的互动数量上更小。总的来说，我们的研究揭示了一个复杂而丰富的相互关系结构，其中价格和情绪相互影响，既有瞬时的，也有超前滞后的因果关系。一个主要发现是，资本化程度较低的次要货币在塑造整体依赖性和因果关系结构方面起着至关重要的作用。尽管噪音水平高，时间序列短，但我们验证了这些网络的重要性，所有链接都经过了统计验证，并且结构组织在所有网络中一致再现。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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