Crypto price discovery through correlation networks

DOI10.1007/s10479-019-03282-3zbMath1476.91200OpenAlexW2947716705WikidataQ127795172 ScholiaQ127795172MaRDI QIDQ2241075

Paolo Giudici, Gloria Polinesi

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03282-3

zbMATH Keywords

random matrix theoryminimum spanning treescorrelation networksbitcoin exchangesbitcoin price discovery

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites Work

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• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Cluster analysis for portfolio optimization
• Bayesian data mining, with application to benchmarking and credit scoring

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