A Dynamic Network Perspective on the Latent Group Structure of Cryptocurrencies

• Main Authors: GUO, Li, TAO, Yubo, HARDLE, Wolfgang Karl
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2018
• 主題: Community Detection; Dynamic Network; Stochastic Blockmodel; Spectral Clustering; Return Predictability; Bitcoin; Behaviour Bias; Econometrics; Finance
• 在線閱讀: 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
• 機構: Singapore Management University

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...