Non-Markovian nature of cryptocurrencies
Makaleler > Tam Makale · 2025
Yazarlar: Ahmet ÇELİKOĞLU
Frontiers in Physics, Uluslararası, Wos, 2025, cilt 13
DOI: 10.3389/fphy.2025.1548267
Özet
Whether financial assets movements exhibit correlation and memory has been an intriguing question for physicists. This study aims to investigate whether financial shocks exhibit non-Markovian behavior. In particular, it explores the presence of long-term memory and non-local fluctuations during financial crises. The non-Markovian behavior of volatility and return during the cryptocurrency crashes of 2017–2021 and 2021–2024 cycles are examined. The analysis shows that a scaling relation, which is valid for a singular Markovian process, breaks down in data sets spanning approximately 1 year and 3 years after the onset of the 2017 crash. A similar pattern was observed in the 2021 crash, although the analysis does not work for some data sets. In these time intervals, the crash process shows non-Markovian behavior with financial shocks demonstrating non-local fluctuations and evidence of long-term memory.