Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230833
Authors: 
Lin, Min-Bin
Khowaja, Kainat
Chen, Cathy Yi-Hsuan
Härdle, Wolfgang Karl
Year of Publication: 
2020
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2020-027
Abstract: 
We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasise on using actual block size and block time as the operational features of cryptos. We use distributional characteristics such as fourier power spectrum, moments, quantiles, global we optimums, as well as the measures for long term dependencies, risk and noise to summarise the information from crypto time series. With the hypothesis that the blockchain structure explains the distributional characteristics of cryptos, we use characteristic based spectral clustering to cluster the selected cryptos into five groups. We scrutinise these clusters and find that indeed, the clusters of cryptos share similar mechanism such as origin of fork, difficulty adjustment frequency, and the nature of block size. This paper provides crypto creators and users with a better understanding toward the connection between the blockchain protocol design and distributional characteristics of cryptos.
Subjects: 
Cryptocurrency
price
blockchain mechanism
distributional characteristics
clustering
JEL: 
C00
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.