Cryptocurrency price analysis with ordinal partition networks

Shahriari, Zahra; Nazarimehr, Fahimeh; Rajagopal, Karthikeyan; Jafari, Sajad; Perc, Matjaž; Svetec, Milan

doi:10.1016/j.amc.2022.127237

Cited by 8 publications

(5 citation statements)

References 44 publications

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“…Our research is closest to Wang et al [22] as we both investigate how the regulatory parameters are set to make the regulation optimal. However, our research differs from Wang et al [22] in several important aspects: first, the scenario of our research is the Bitcoin market, and the regulatory problem we research is the price manipulation, so the equilibrium bounds of the model are quite different. Second, in addition to penalty coefficients, we introduce parameters such as probability of investigation and price fluctuation standard in our research to explore how the regulator set these controllable variables to effectively achieve price manipulation regulation.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In terms of regulatory games, Liu et al [21] compared the equilibrium differences between fixed and dynamic penalty mechanisms in the regulatory strategies of Internet platforms, based on evolutionary game theory. Wang et al [22] investigated how parameters such as penalty intensity and platform size optimally affect government regulation of platform markets, based on a dynamic game model. Our research is closest to Wang et al [22] as we both investigate how the regulatory parameters are set to make the regulation optimal.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Wang et al [22] investigated how parameters such as penalty intensity and platform size optimally affect government regulation of platform markets, based on a dynamic game model. Our research is closest to Wang et al [22] as we both investigate how the regulatory parameters are set to make the regulation optimal. However, our research differs from Wang et al [22] in several important aspects: first, the scenario of our research is the Bitcoin market, and the regulatory problem we research is the price manipulation, so the equilibrium bounds of the model are quite different.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Second, in addition to penalty coefficients, we introduce parameters such as probability of investigation and price fluctuation standard in our research to explore how the regulator set these controllable variables to effectively achieve price manipulation regulation. Whereas, the research by Wang et al [22] focuses more on the comparative static analysis of different regulatory models.…”

Section: Literature Reviewmentioning

confidence: 99%

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Bitcoin Price Manipulation Regulation from a Game Perspective

Gao,

Zhang,

Lin

et al. 2023

J. Soc. Comput.

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Frequent price manipulation in the Bitcoin market will lead to market risk and seriously disrupt the financial order, but there is less research on its regulation. We address the Bitcoin price manipulation problem by building a regulatory game model. First, we study the price manipulation mechanism of the Bitcoin market based on behavioral finance and clarify the boundary conditions. Second, we introduce regulator constraints and establish a game model between the manipulator and the regulator. Further, through variable deconstruction, parameter verification, and simulation analysis, we explore how to achieve effective regulation of Bitcoin price manipulation. We find that the effective regulation of Bitcoin price manipulation can be achieved in three ways: (1) Adjust the penalty coefficient with a certain lower threshold so that the manipulator's expected return is negative; (2) Set the lowest possible price fluctuation standard while ensuring that it does not interfere with market-based transactions; (3) The simulation of price manipulation regulation is optimized and most efficiently controlled when the probability of investigation is dynamically adjusted by a concave function on the price fluctuation standard.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Bitcoin Price Manipulation Regulation from a Game Perspective

Gao,

Zhang,

Lin

et al. 2023

J. Soc. Comput.

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“…The permutation entropy [21] is a complexity measure that is in line with Shannon entropy [22,23]. This complexity measure has been widely used successfully in several research areas to characterize the complexity of nonlinear time series [24].…”

Section: Permutation Entropymentioning

confidence: 99%

Assessment of Sector Bond, Equity Indices and Green Bond Index Using Information Theory Quantifiers and Clusters Techniques

et al. 2023

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Green bonds are financial assets similar to classic debt securities used to finance sustainable investments. Given this, they are a long-term investment alternative that effectively contributes to the planet’s future by preserving the environment and encouraging sustainable development. This research encompasses a rich dataset of equity and bond sectors, general indices, and the S&P Green Bond Index. We estimate the permutation entropy [Formula: see text], an appropriate statistical complexity measure [Formula: see text], and Fisher Information measure [Formula: see text]. Therefore, we employ these complexity measures to construct two 2D maps, the complexity-entropy causality plane ([Formula: see text] ×[Formula: see text]) and the Shannon–Fisher causality plane ([Formula: see text] ×[Formula: see text]). Also, we use the information theory quantifiers to rank these indices’ efficiency analogous to the complexity hierarchy. From a mathematical point of view, the complexity-entropy causality plane (CECP) is a map that considers the global analysis, while the SFCP is a map that simultaneously feels the global and local analysis. Our findings reveal that both 2D maps indicated the most efficient (b_info_tech) and least efficient (b_energy) assets. There are peculiarities in the ranking performed considering the information theory quantifiers used to build each map due to the mathematical distinction that underlies the construction of each map. Moreover, we applied two clustering approaches ([Formula: see text]-means and Hierarchical cluster) that categorically converged in the indication of four distinct groups, which allowed us to verify that, in an overview, equities present a unique dynamic when compared to bonds and the Green bond index.

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Intraday algorithmic trading strategies for cryptocurrencies

Cohen

2023

Rev Quant Finan Acc

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Cryptocurrency price analysis with ordinal partition networks

Cited by 8 publications

References 44 publications

Bitcoin Price Manipulation Regulation from a Game Perspective

Bitcoin Price Manipulation Regulation from a Game Perspective

Assessment of Sector Bond, Equity Indices and Green Bond Index Using Information Theory Quantifiers and Clusters Techniques

Intraday algorithmic trading strategies for cryptocurrencies

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