Proceedings of the  III International Scientific Congress Society of Ambient Intelligence 2020 (ISC-SAI 2020)

Lempel-Ziv Complexity and Crises of Cryptocurrency Market

Authors
Vladimir Soloviev, Serhiy Semerikov, Victoria Solovieva
Corresponding Author
Victoria Solovieva
Available Online 23 March 2020.
DOI
https://doi.org/10.2991/aebmr.k.200318.037How to use a DOI?
Keywords
information theory, time series, returns, complex systems, Kolmogorov complexity, entropy, Lempel-Ziv complexity, cryptocurrency, Bitcoin, crisis
Abstract
The informational (Kolmogorov) measure of complexity in accordance with the Lempel-Ziv algorithm (LZC) is calculated for the logarithmic returns of daily Bitcoin/$ values. The calculations were carried out for a moving window with a variation in its size (50–250 days) in increments of one day in the framework of the implemented coarse graining procedure. It is shown that in both mono-and multi-scaling versions, LZC is sensitive to noticeable fluctuations in the Bitcoin price that occur as a result of critical events in the cryptocurrency market. In equilibrium, stable state, having a relatively low value, LZC rapidly increases immediately before the crisis, which proves the dominance of the chaotic component of the time series. The classification and periodization of crisis phenomena in the cryptocurrency market for the period 2010–2020 has been carried out. The results demonstrate the possibility of using the LZC measure as an indicator-precursor of crisis phenomena in the cryptocurrency market.
Open Access
This is an open access article distributed under the CC BY-NC license.

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Proceedings
Part of series
Advances in Economics, Business and Management Research
Publication Date
23 March 2020
ISBN
978-94-6252-933-5
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.200318.037How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Vladimir Soloviev
AU  - Serhiy Semerikov
AU  - Victoria Solovieva
PY  - 2020
DA  - 2020/03/23
TI  - Lempel-Ziv Complexity and Crises of Cryptocurrency Market
PB  - Atlantis Press
SP  - 299
EP  - 306
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200318.037
DO  - https://doi.org/10.2991/aebmr.k.200318.037
ID  - Soloviev2020
ER  -