Title: On the dynamics of cryptocurrency prices
Authors: Pierangelo De Pace - Pomona College (United States) [presenting]
Jayant Rao - Claremont Graduate University (United States)
Abstract: The results of an extensive empirical investigation developed over the past few years are summarized. We analyze (i) instability, interrelations, and extreme realizations in cryptocurrency markets; and (ii) average associations (comovement) and associations in the distribution tails between cryptocurrency prices and between prices of cryptocurrencies and other conventional assets. Absent a solid theory of cryptocurrency prices and given our currently poor grasp of how such prices are related and evolve, the goal is to provide a comprehensive set of clear and statistically robust empirical facts about virtual currency price dynamics.