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

Author

Listed:
  • José Benito Hernández C.

    (Unidad Monterrey, Centro de Investigación en Matemáticas, A.C. Av. Alianza Centro 502, PIIT, Apodaca 66628, Mexico
    Facultad de Ciencias, Universidad Central de Venezuela, Av. Los Ilustres, Esc. de Matemática Piso 3, Los Chaguaramos, Caracas 1020, Venezuela)

  • Andrés García-Medina

    (Unidad Monterrey, Centro de Investigación en Matemáticas, A.C. Av. Alianza Centro 502, PIIT, Apodaca 66628, Mexico
    Consejo Nacional de Ciencia y Tecnología, Av. Insurgentes Sur 1582, Col. Crédito Constructor, Ciudad de México 03940, Mexico)

  • Miguel Andrés Porro V.

    (Facultad de Ciencias, Universidad Central de Venezuela, Av. Los Ilustres, Esc. de Matemática Piso 3, Los Chaguaramos, Caracas 1020, Venezuela)

Abstract

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.

Suggested Citation

  • José Benito Hernández C. & Andrés García-Medina & Miguel Andrés Porro V., 2021. "Study of the Behavior of Cryptocurrencies in Turbulent Times Using Association Rules," Mathematics, MDPI, vol. 9(14), pages 1-23, July.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:14:p:1620-:d:591225
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