A0622
Title: Frequency decomposition of crypto connectedness
Authors: Jan Sila - UTIA AV CR, v.v.i. (Czech Republic) [presenting]
Ladislav Kristoufek - Charles University Prague (Czech Republic)
Abstract: The aim is to describe the connectedness of cryptocurrency markets that arise with different responses to shocks. Due to a framework introduced previously, we can detect different responses in the time-frequency domain. As market agents operate on different investment or speculative horizons, spectral representation of variance decomposition allows us to reveal such information. As cryptocurrencies are considered to be governed by algorithmic trading, we can compare such dynamics on high-frequency or daily data, thus measuring these differences at arbitrary frequencies. We then compare the dynamics with traditional financial assets.
