Study of the Behavior of Cryptocurrencies in Turbulent Times Using Association Rules

Study of the Behavior of Cryptocurrencies in Turbulent Times Using Association Rules

We studied the effects of the recent financial turbulence of 2020 on the cryptocurrency market, taking into account both prices and volumes from December 2019 to July 2020. Time series were transformed into transaction matrices, and the Apriori algorithm was applied to find the association rules bet...

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Bibliographic Details
Published in:Mathematics (Basel) Vol. 9; no. 14; p. 1620
Main Authors: Hernández C., José Benito, García-Medina, Andrés, Porro V., Miguel Andrés
Format: Journal Article
Language:English
Published: Basel MDPI AG 01-07-2021
Subjects:
Algorithms
Apriori algorithm
association rules
Associations
cryptocurrencies
Data mining
Digital currencies
Investments
Mathematics
Milk
Pricing
Securities markets
Stock exchanges
time series
Turbulence
Taiwan
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Summary:We studied the effects of the recent financial turbulence of 2020 on the cryptocurrency market, taking into account both prices and volumes from December 2019 to July 2020. Time series were transformed into transaction matrices, and the Apriori algorithm was applied to find the association rules between different currencies, identifying whether the price or the volume of the currencies compose the rules. We divided the data set into two subsets and found that before the decline in cryptocurrency prices, the association rules were generally formed by these prices and that, then, the volumes of the transactions dominated to form the association rules.
ISSN:2227-7390
2227-7390
DOI:10.3390/math9141620