In this paper, we point out an "affinity" between the system of agents trading in cryptocurrencies and statistical mechanics. In particular, we try to extend the concept of entropy in the sense of Boltzmann to a model in which the particles are replaced by N economic subjects (agents), that are completely described by their ability to buy and to sell a certain quantity of cryptocurrencies. In addition, by applying this model to the closing prices we show that entropy can be used as an indicator to forecast the price trend of cryptocurrencies.
A Statistical Ensemble Based Approach for Entropy in Cryptocurrencies Markets
Luca Grilli
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2021-01-01
Abstract
In this paper, we point out an "affinity" between the system of agents trading in cryptocurrencies and statistical mechanics. In particular, we try to extend the concept of entropy in the sense of Boltzmann to a model in which the particles are replaced by N economic subjects (agents), that are completely described by their ability to buy and to sell a certain quantity of cryptocurrencies. In addition, by applying this model to the closing prices we show that entropy can be used as an indicator to forecast the price trend of cryptocurrencies.File in questo prodotto:
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