In this paper, we consider the cryptocurrency market and in particular, we try to point out an "affinity" between the system of agents trading in cryptocurrencies and statistical mechanics. We focus our study on the concept of entropy in the sense of Boltzmann and we try to extend such a definition to a model in which the particles are replaced by N economic subjects (agents). The agents are completely described by their ability to buy and sell a certain quantity of cryptocurrencies. We provide some numerical examples by applying the model to the closing prices of the main six cryptocurrencies and we show that entropy can provide information about the position of economic agents in the phase space through the closing price.

Cryptocurrencies Markets and Entropy: A Statistical Ensemble Based Approach

Luca Grilli
;
2021

Abstract

In this paper, we consider the cryptocurrency market and in particular, we try to point out an "affinity" between the system of agents trading in cryptocurrencies and statistical mechanics. We focus our study on the concept of entropy in the sense of Boltzmann and we try to extend such a definition to a model in which the particles are replaced by N economic subjects (agents). The agents are completely described by their ability to buy and sell a certain quantity of cryptocurrencies. We provide some numerical examples by applying the model to the closing prices of the main six cryptocurrencies and we show that entropy can provide information about the position of economic agents in the phase space through the closing price.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11369/401796
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact