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SSRN Electronic Journal
Article . 2020 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2020
License: CC BY
Data sources: Datacite
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Article . 2020
Data sources: DBLP
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Research . 2020
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Blockchain Mechanism and Distributional Characteristics of Cryptos

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

Blockchain Mechanism and Distributional Characteristics of Cryptos

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.

Country
Germany
Keywords

Cryptocurrency, FOS: Computer and information sciences, info:eu-repo/classification/ddc/330, Computer Science - Cryptography and Security, 330, Economics, ddc:330, distributional characteristics, price, FOS: Economics and business, Quantitative Finance - General Finance, General Finance (q-fin.GN), Cryptography and Security (cs.CR), C00, blockchain mechanism, clustering

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    selected citations
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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    6
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
6
Top 10%
Average
Top 10%
Green
bronze