El mercado de criptomonedas. Un análisis de web

  1. Carlos Jaureguizar Francés 1
  2. Pilar Grau-Carles 1
  3. Diego Jaureguizar Arellano 2
  1. 1 Universidad Rey Juan Carlos
    info

    Universidad Rey Juan Carlos

    Madrid, España

    ROR https://ror.org/01v5cv687

  2. 2 Universidad Pontificia Comillas
    info

    Universidad Pontificia Comillas

    Madrid, España

    ROR https://ror.org/017mdc710

Revista:
Esic market

ISSN: 0212-1867

Año de publicación: 2018

Número: 161

Páginas: 569-598

Tipo: Artículo

DOI: 10.7200/ESICM.161.0493.4E DIALNET GOOGLE SCHOLAR

Otras publicaciones en: Esic market

Resumen

En este trabajo se estudian las características de las series de precios diarios de 16 diferentes criptomonedas entre julio de 2017 y febrero de 2018. Las metodologías utilizadas para el análisis son el llamado Minimum Spanning Tree (MST) y el análisis jerárquico a través del dendograma, obtenidos ambos a partir de las correlaciones de Pearson entre los rendimientos diarios. Esta metodología permite visualizar las relaciones de mercado entre los activos analizados identificando una alta correlación entre los movimientos de los precios de todas las monedas. Además, se ha podido identificar la posición de Ethereum como moneda de referencia en el mercado de criptomonedas, en lugar de Bitcoin, como cabría esperar por su popularidad y volumen de cotización.

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Fuente de los datos: Dialnet