Competition of noise and collectivity in global cryptocurrency trading: Route to a self-contained market
Competition of noise and collectivity in global cryptocurrency trading: Route to a self-contained market
Cross correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015-March 31, 2019 are studied. The corresponding dynamics predominantly involve one leading eigenvalue of the correlation matrix, while the others largely coincide with those of Wishart random matrices. …