Cryptocurrency price analysis with ordinal partition networks

• Published in: Applied mathematics and computation Vol. 430; p. 127237
• Main Authors: Shahriari, Zahra, Nazarimehr, Fahimeh, Rajagopal, Karthikeyan, Jafari, Sajad, Perc, Matjaž, Svetec, Milan
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01-10-2022
• Subjects: Complex system; Cryptocurrency; Nonlinear dynamics; Ordinal partition network; Time series; Nonlinear dynamics; Cryptocurrency; Complex system; Ordinal partition network; Time series
• ISSN: 0096-3003; 1873-5649
• DOI: 10.1016/j.amc.2022.127237

•Ordinal partition networks are constructed using cryptocurrency prices•The properties of these networks are determined to investigate the variations•We apply our method to ten different cryptocurrencies•Our research provides new means for analyzing cryptocurrency price variations
The time series of cryptocurrency prices provide a unique window into their value and fluctuations. In this study, an ordinal partition network is constructed using the price signals, and its features are extracted to investigate the variations. Our research shows that the proposed method indeed works well for analyzing price fluctuations. We apply the method to ten digital coins, including Bitcoin, Binance coin, and XRP. In particular, the permutation entropy and clustering coefficient are investigated using the minimum, maximum, mean, and the geometric mean functions for the inbound, outbound, and loop directions. We find that the global clustering coefficient using the minimum function for triplets in a loop in one direction is the best measure in terms of predictive power and insight.