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[2019-06] Cryptocurrency: Not Far from Equilibrium

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  • 날짜 2019.08.06
  • 조회수 1,755

[2019-06]

Cryptocurrency: Not Far from Equilibrium


Yi, Eojin

Moon Soul Graduate School of Future Strategy, KAIST 
 
Ahn, Kwangwon

Department of Industrial Engineering, Yonsei University
 
Choi, MooYoung

Department of Physics and Astronomy and Center for Theoretical Physics, Seoul National University


ABSTRACT
The rapid growth and increasing applications of cryptocurrencies are the main factors that drive the cryptocurrency to be considered as a potential asset in investment portfolios. However, recent fierce ups-and-downs, as well as extreme market volatility, have cast doubts on classifying the cryptocurrency as an asset. To investigate the characteristics of cryptocurrencies, we compare Bitcoin, one of the most popular cryptocurrencies, with other major investment assets. Our analysis focuses on the efficient-market hypothesis and the long-term market equilibrium, measured by the Hurst exponent and Shannon entropy, respectively. It is suggested that the bitcoin market is less efficient than other markets, while not significantly different from others in terms of the market equilibrium in the long run. To elucidate these properties, we probe the Fokker–Planck and Schro¨dinger equations and derive a probability density function, considering the speed of mean reversion and dispersion.

Subject Areas: Complex Systems, Nonlinear Dynamics, Statistical Physics


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