Journal article

Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19

Nick James, Max Menzies, Jennifer Chan

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | ELSEVIER | Published : 2021

Abstract

This paper introduces new methods for analysing the extreme and erratic behaviour of time series to evaluate the impact of COVID-19 on cryptocurrency market dynamics. Across 51 cryptocurrencies, we examine extreme behaviour through a study of distribution extremities, and erratic behaviour through structural breaks. First, we analyse the structure of the market as a whole and observe a reduction in self-similarity as a result of COVID-19, particularly with respect to structural breaks in variance. Second, we compare and contrast these two behaviours, and identify individual anomalous cryptocurrencies. Tether (USDT) and TrueUSD (TUSD) are consistent outliers with respect to their returns, whi..

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University of Melbourne Researchers