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
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2021-01-01
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
