Correlation Tensor

Arbitrage impact on the relationship between XRP price and correlation tensor spectra of transaction networks ArXiv ID: 2405.00051 “View on arXiv” Authors: Unknown Abstract The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices, independent of blockchain-based remittance mechanisms, introduces potential risks during periods of high volatility. This study investigates the intricate dynamics between XRP price fluctuations across diverse crypto exchanges and the correlation of the largest singular values of the correlation tensor of XRP transaction networks. Particularly, we show the impact of arbitrage opportunities across different crypto exchanges on the relationship between XRP price and correlation tensor spectra of transaction networks. Distinct periods, non-bubble and bubble, showcase different characteristics in XRP price fluctuations. Establishing a connection between XRP price and transaction networks, we compute correlation tensors and singular values, emphasizing the significance of the largest singular value. Comparisons with reshuffled and Gaussian random correlation tensors validate the uniqueness of the empirical tensor. A set of simulated weekly XRP prices, resembling arbitrage opportunities across various crypto exchanges, further confirms the robustness of our findings. It reveals a pronounced anti-correlation during bubble periods and a non-significant correlation during non-bubble periods with the largest singular value, irrespective of price fluctuations across different crypto exchanges. ...

Dynamic relationship between XRP price and correlation tensor spectra of the transaction network ArXiv ID: 2309.05935 “View on arXiv” Authors: Unknown Abstract The emergence of cryptoassets has sparked a paradigm shift in the world of finance and investment, ushering in a new era of digital assets with profound implications for the future of currency and asset management. A recent study showed that during the bubble period around the year, 2018, the price of cryptoasset, XRP has a strong anti correlation with the largest singular values of the correlation tensors obtained from the weekly XRP transaction networks. In this study, we provide a detailed analysis of the method of correlation tensor spectra for XRP transaction networks. We calculate and compare the distribution of the largest singular values of the correlation tensor using the random matrix theory with the largest singular values of the empirical correlation tensor. We investigate the correlation between the XRP price and the largest singular values for a period spanning two years. We also uncover the distinct dependence between XRP price and the singular values for bubble and non-bubble periods. The significance of time evolution of singular values is shown by comparison with the evolution of singular values of the reshuffled correlation tensor. Furthermore, we identify a set of driver nodes in the transaction networks that drives the market during the bubble period using the singular vectors. ...