A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies

A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies

In this paper, we study the latent group structure in cryptocurrencies market by forming a dynamic return inferred network with coin attributions. We develop a dynamic covariate-assisted spectral clustering method to detect the communities in dynamic network framework and prove its uniform consisten...

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Bibliographic Details
Main Authors: GUO, Li, TAO, Yubo, HARDLE, Wolfgang Karl
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Community Detection
Dynamic Network
Stochastic Blockmodel
Spectral Clustering
Return Predictability
Bitcoin
Behaviour Bias
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/2182
https://ink.library.smu.edu.sg/context/soe_research/article/3178/viewcontent/DynamicNetworkPerspectives_Crytocurrencies_2018_wp.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2182
https://ink.library.smu.edu.sg/context/soe_research/article/3178/viewcontent/DynamicNetworkPerspectives_Crytocurrencies_2018_wp.pdf

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