An Information Theory Approach to the Stock and Cryptocurrency Market: A Statistical Equilibrium Perspective

• Tác giả: Emanuele Citera, Francesco De Pretis
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.54 Information theory
• Thông tin xuất bản: 2023
• Bộ sưu tập: Metadata
• ID: 198308

Tóm tắt

We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and the second includes all the companies listed in the S&P 500. We collect individual data from January 2017 until December 2022. We then apply the Quantal Response Statistical Equilibrium (QRSE) model to recover the cross-sectional frequency distribution of the daily returns of cryptocurrencies and S&P 500 companies. We study the stochastic structure of these two markets and the properties of investors' behavior over bear and bull trends. Finally, we compare the degree of informational efficiency of these two markets.