1. Signature of maturity in cryptocurrency volatility
- Author
-
Ghosh, Asim, Biswas, Soumyajyoti, and Chakrabarti, Bikas K.
- Subjects
Physics - Physics and Society ,Quantitative Finance - Computational Finance - Abstract
We study the fluctuations, particularly the inequality of fluctuations, in cryptocurrency prices over the last ten years. We calculate the inequality in the price fluctuations through different measures, such as the Gini and Kolkata indices, and also the $Q$ factor (given by the ratio between the highest value and the average value) of these fluctuations. We compare the results with the equivalent quantities in some of the more prominent national currencies and see that while the fluctuations (or inequalities in such fluctuations) for cryptocurrencies were initially significantly higher than national currencies, over time the fluctuation levels of cryptocurrencies tend towards the levels characteristic of national currencies. We also compare similar quantities for a few prominent stock prices., Comment: Invited contribution for Physica A Spl. Issue on "Crypto's Global Impact"
- Published
- 2024