ESIC MARKET Economic and Business Journal · 2018 · 32 citations · 0 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisEurocurrency MarketsFinancial Time Series AnalysisForeign Exchange MarketsMoney MarketsTime-series VisualizationCurrency BenchmarksCurrency ForecastingFinancial Time Series ForecastingHierarchical Cluster AnalysisMinimum Spanning Tree AlgorithmsPearson Correlation CoefficientTemporal Price Series Analysis
In this paper we examine the characteristics of the daily price series of 16 different cryptocurrencies between July 2017 and February 2018. The methodologies used for the analysis are the so-called Minimum Spanning Tree (MST) and hierarchical analysis by dendrogram, both obtained Pearson correlations between daily returns. This methodology visualizes the market relationships between the assets analyzed, identifying a high correlation between price movements for all the currencies. In addition, it has been possible to identify Ethereum’s position as a benchmark currency in the cryptocurrency market, rather than Bitcoin, as one might expect, due to its popularity and trading volume.