BLOCKCHAIN MECHANISM AND DISTRIBUTIONAL CHARACTERISTICS OF CRYPTOS

Min-Bin Lin ； Kainat Khowaja ； Cathy Yi-Hsuan Chen ； Wolfgang Karl Härdle

《Advances in Quantitative Analysis of Finance and Accounting》 18期 (2021/12) Pp. 167-196

https://doi.org/10.6293/AQAFA.202112_(18).0006

摘要

We investigate the relationship between underlying blockchain mechanism of cryptocurrencies and its distributional characteristics. In addition to price, we emphasize 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 summarize 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 scrutinize 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.

關鍵字

Cryptocurrency ； Price ； Blockchain Mechanism ； Distributional Characteristics ； Clustering

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