英文标题：
《Exploring the Interconnectedness of Cryptocurrencies using Correlation
Networks》
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作者：
Andrew Burnie
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最新提交年份：
2018
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英文摘要：
Correlation networks were used to detect characteristics which, although fixed over time, have an important influence on the evolution of prices over time. Potentially important features were identified using the websites and whitepapers of cryptocurrencies with the largest userbases. These were assessed using two datasets to enhance robustness: one with fourteen cryptocurrencies beginning from 9 November 2017, and a subset with nine cryptocurrencies starting 9 September 2016, both ending 6 March 2018. Separately analysing the subset of cryptocurrencies raised the number of data points from 115 to 537, and improved robustness to changes in relationships over time. Excluding USD Tether, the results showed a positive association between different cryptocurrencies that was statistically significant. Robust, strong positive associations were observed for six cryptocurrencies where one was a fork of the other; Bitcoin / Bitcoin Cash was an exception. There was evidence for the existence of a group of cryptocurrencies particularly associated with Cardano, and a separate group correlated with Ethereum. The data was not consistent with a token\'s functionality or creation mechanism being the dominant determinants of the evolution of prices over time but did suggest that factors other than speculation contributed to the price.
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中文摘要：
相关网络用于检测特征，这些特征虽然随时间固定，但对价格随时间的演变具有重要影响。使用拥有最大用户群的加密货币网站和白皮书确定了潜在的重要功能。使用两个数据集对其进行评估，以增强稳健性：一个数据集从2017年11月9日开始使用十四种加密货币，另一个数据集从2016年9月9日开始使用九种加密货币，这两个数据集都从2018年3月6日结束。单独分析加密货币子集将数据点的数量从115个增加到537个，并提高了对关系随时间变化的鲁棒性。排除美元系链，结果显示不同加密货币之间存在显著的正相关性，具有统计学意义。六种加密货币之间存在着强大的正相关关系，其中一种是另一种的分支；比特币/比特币现金是个例外。有证据表明存在一组与Cardano特别相关的加密货币，另一组与以太坊相关。这些数据与代币的功能或创造机制不一致，代币的功能或创造机制是价格随时间演变的主要决定因素，但确实表明，投机以外的因素对价格有贡献。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Computer Science 计算机科学
二级分类：Cryptography and Security 密码学与安全
分类描述：Covers all areas of cryptography and security including authentication, public key cryptosytems, proof-carrying code, etc. Roughly includes material in ACM Subject Classes D.4.6 and E.3.
涵盖密码学和安全的所有领域，包括认证、公钥密码系统、携带证明的代码等。大致包括ACM主题课程D.4.6和E.3中的材料。
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