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Stocks and Cryptocurrencies: Anti-fragile or Robust?

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  • Dar'io Alatorre
  • Carlos Gershenson
  • Jos'e L. Mateos

Abstract

In contrast with robust systems that resist noise or fragile systems that break with noise, antifragility is defined as a property of complex systems that benefit from noise or disorder. Here we define and test a simple measure of antifragility for complex dynamical systems. In this work we use our antifragility measure to analyze real data from return prices in the stock and cryptocurrency markets. Our definition of antifragility is the product of the return price and a perturbation. We explore different types of perturbations that typically arise from within the system. Our results suggest that for both the stock market and the cryptocurrency market, the tendency among the 'top performers' is to be robust rather than antifragile. It would be important to explore other possible definitions of antifragility to understand its role in financial markets and in complex dynamical systems in general.

Suggested Citation

  • Dar'io Alatorre & Carlos Gershenson & Jos'e L. Mateos, 2020. "Stocks and Cryptocurrencies: Anti-fragile or Robust?," Papers 2005.13033, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2005.13033
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    References listed on IDEAS

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    1. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
    2. Hyobin Kim & Omar K. Pineda & Carlos Gershenson, 2019. "A Multilayer Structure Facilitates the Production of Antifragile Systems in Boolean Network Models," Complexity, Hindawi, vol. 2019, pages 1-11, December.
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