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Towards an Understanding of Cryptocurrency: A Comparative Analysis of

Cryptocurrency, Foreign Exchange, and Stock

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 Towards an Understanding of Cryptocurrency:
A Comparative Analysis of Cryptocurrency, Foreign
Exchange, and Stock
Jiaqi Liang1,2 , Linjing Li1,3 , Weiyun Chen4 , Daniel Zeng1,2,3
1
The State Key Laboratory of Management and Control for Complex Systems,
Institute of Automation, Chinese Academy of Sciences, Beijing, China
2
School of Artificial Intelligence, University of Chinese Academy of Sciences, Beijing, China
3
Shenzhen Artificial Intelligence and Data Science Institute (Longhua), Shenzhen, China
4
School of Management, Huazhong University of Science and Technology, Wuhan, China
{liangjiaqi2014, linjing.li, dajun.zeng}@ia.ac.cn, chenweiyun@hust.edu.cn

Abstract—Cryptocurrency is a cutting-edge Fintech innovation
and currently a worldwide hotspot. However, the high-speed
evolution of it has already caused a series of public security
related events all around the world. Cryptocurrency was built
initially as a possible implementation of digital currency, then
various derivatives were created in a variety of fields such
as financial transactions, capital management, and even non-
monetary applications. This paper aims to offer analytical
insights to help understand cryptocurrency by treating it as
a financial asset. We position cryptocurrency by comparing
its dynamic characteristics with two traditional and massively
adopted financial assets: foreign exchange and stock. Based on
the daily close prices about four years, we first construct the
correlation matrices and asset trees of all three markets, then
conduct comparisons on five properties: volatility, centrality,
clustering structure, robustness, and risk. Our investigation
suggests that the dynamics of cryptocurrency are more similar to
stock. As to the robustness and clustering structure, our analysis
shows cryptocurrency market is more fragile than stock market,
thus it is currently a high-risk financial market. Our work is the
first to study cryptocurrency with the help of well-understood
financial assets and may shed some light on investment decisions,
regulation, and legislation.
Index Terms—cryptocurrency, blockchain, financial market,
correlation matrix, asset tree, systemic risk
I. I NTRODUCTION
Cryptocurrency is a kind of digital currency in which
blockchain is used as a decentralized ledger to secure the trans-
actions and control the generation of new units of currency
(i.e., the so-called coins), which is operated independently
without a central authority. Since Bitcoin, the first cryptocur-
rency, emerged in 2009 [1], the cryptocurrency market has
become an important component of the international financial
market after ten years’ development. According to Cryptocur-
rency Market Capitalizations 1 , by March 24, 2019, there are
more than 2000 active currencies in the market, with a total
market cap of over $139 billion.
1 Cryptocurrency Market Capitalization | CoinMarketCap, available from
https://coinmarketcap.com/all/views/all/
Nonetheless, as the cryptocurrency market is still under
rapid development and evolution, the prices of currencies
change drastically. Whether the cryptocurrency is used as a
transaction medium or a value store, price fluctuations can
significantly affect the behavior of traders. Besides market
risks, there also exist shallow market problems, adversary
risks, transaction risks, operational risks, privacy-related risks,
and legal and regulatory risks [2]. These pose a significant
challenge to build a comprehensive understanding of the
cryptocurrency market. Lots of works have focused on Bitcoin,
analyzing its price bubbles [3] and determinants [4], [5], as
well as a comparative analysis of Bitcoin with other financial
assets [6]–[9]. However, little is known on the cryptocurrency
market, and only on the competition of several cryptocurren-
cies [10], [11] and the evolutionary dynamics using statistical
methods [12].
Thus we still lack basic concepts to fully describe cryp-
tocurrency. In contrast, we do have relatively more experience
and knowledge in traditional financial assets (e.g., foreign ex-
change and stock) [13]–[19] and these can help us understand
the nature of cryptocurrency. Among which, we select widely
adopted methods, asset tree and correlation matrix, based on
price data from January 2015 to November 2018, to investigate
the characteristics of the cryptocurrency market and position it
through comparisons with other traditional financial markets.
As an extension of work [20], the main contributions and
findings of this paper can be summarized as follows. First,
we study the cryptocurrency market at the financial market
level and compare it with traditional financial markets. Second,
our investigation yields interesting findings: though cryptocur-
rencies were initially designed as a blockchain-based digital
currency, however, its market dynamics are more similar to
the stock market, thus it is currently a high-risk market. Our
analysis illustrates the nature of the price fluctuations in the
cryptocurrency market and provides guidance for investment,
regulation, and legislation.
 TABLE I TABLE II
T HE SET OF CRYPTOCURRENCIES T HE SET OF CURRENCIES

Currency Symbol Currency Symbol Currency Symbol Currency Symbol Currency Symbol Currency Symbol
Bitcoin BTC ICON ICX Veritaseum VERI Algeria DZD Egypt EGP Morocco MAD
Ethereum ETH Populous PPT Walton WTC China CNY Hong Kong HKD Indonesia IDR
Ripple XRP Nano NANO Ardor ARDR Saudi United Sri
SAR GBP LKR
8Cardano ADA PIVX PIVX Waves WAVES Arabia Kingdom Lanka
Stellar XLM OmiseGO OMG RChain RHOC Philippines PHP Pakistan PKR Singapore SGD
NEO NEO Zcash ZEC Dogecoin DOGE Bulgaria BGN Switzerland CHF Czechia CZK
Litecoin LTC Steem STEEM Aeternity AE Hungary HUF Iceland ISK Jamaica JMD
EOS EOS Stratis STRAT Decred DCR Poland PLN Romania RON Russia RUB
NEM XEM BitShares BTS Komodo KMD Turkey TRY Bahrain BHD Japan JAP
IOTA MIOTA Vechain VET HyperCash HC Kuwait KWD Europe EUR Fiji FJD
Dash DASH Siacoin SC Status SNT Mexico MXN Australia AUD Chile CLP
Monero XMR Bytecoin BCN Gas GAS Argentina ARS Brazil BRL Venezuela VEF
TRON TRX Verge XVG Ark ARK Peru PEN Uruguay UYU Denmark DKK
Qtum QTUM 0x ZRX Augur REP gold XAU platinum XPT Norway NOK
KingN Kucoin South Africa ZAR Malaysia MYR Sweden SEK
Lisk LSK KNC KCS
Coin Shares India INR Thailand THB silver XAG
Binance Bitcoin Israel ILS New Zealand NZD United Arab
BNB BTG Basic AED
Coin Gold BAT Canada CAD Colombia COP Emirates
Attention
Bitcoin Ethereum
BCH ETC Token
Cash Classic

Based on the datasets, we first use the methodology intro-

II. DATASETS AND M ETHODOLOGY
The data considered in this paper is the daily close price
of different financial markets. The time span is from January
1, 2015 to November 30, 2018, and all prices are based
on the US dollar. In terms of cryptocurrencies, from the
complete list of more than 2,000 cryptocurrencies, we select
50 representative currencies based on the market cap for
analysis. These currencies and corresponding symbols are
listed in Table I. The sum of the market capitalization of
these currencies account for more than 90% of the total
value, indicating their importance in the market. Firstly, these
currencies include some top-level currencies with high market
capitalizations and relatively stable rankings over time. In
addition, the cryptocurrency market is constantly changing,
new currencies appear, and some currencies are no longer
involved in transactions. Therefore, it also contains some
currencies, although they have large fluctuations in market
shares, they have been active in the market for a long time.
Here, we discard the currencies whose data period is less
than one year. We collect the daily close price of these
currencies for a nearly four-year span from January 1, 2015 to
November 30, 2018 from the website Cryptocurrency Market
Capitalizations.
As a comparison, we analyze 50 currencies (including Gold,
Silver, and Platinum) in the foreign exchange market provided
by the University of British Columbia2 . These currencies and
their symbols are listed in Table II. Regarding the stock
market, we analyze 102 stocks comprising the S&P 100 Index
obtained from Yahoo! Finance3 . The time span of these three
markets is consistent, and the price data all use the U.S. dollar
as the base currency.
2 Pacific Exchange Rate Service - Database Retrieval System,
http://fx.sauder.ubc.ca/data.html
3 Yahoo Finance - Business Finance, Stock Market, Quotes, News,
https://finance.yahoo.com/
duced in [13] to construct the correlation matrix and asset tree.
Then we examine 1385 windows generated by rolling win-
dows method to analyze the dynamics of the cryptocurrency
market from five aspects: temporal volatility, centrality, robust-
ness, clustering structure, and portfolio risk. We compare the
cryptocurrency market with traditional financial markets. In
addition to the three aspects mentioned in [20], the following
two aspects are added.
Survival ratio investigates the robustness of asset tree topol-
ogy [14], [15]. The single-step survival ratio, defined as the
proportion of common edges found in two consecutive graphs
at time t and t − 1, is
|E (t) ∩ E (t − 1)|
s (t) = , (1)
|E (t)|
where E (t) refers to the set of edges of the graph at time t,
∩ is the intersection operator, and |·| denotes the number of
elements in the set.
Whereas the single-step survival ratio describes the short-
term behavior of edges, we study the long-term evolution of
edges with multi-step survival ratio, defined as
1
s (t, k) = |E (t) ∩ E (t − 1) ∩ · · · ∩ E (t − k)| , (2)
|E (t)|
where t is the current time window and k is the number of time
windows observed. We only consider those edges that have
persisted for the whole time window without any interruption.
Clustering structure. The idea behind using asset trees is
that the hierarchical arrangement of assets provides a mean-
ingful economic taxonomy, as noted by Mantegna [13]. We
use the term cluster to refer to a group of assets in the
asset tree that are more similar to each other than to those
in other groups. Clusters match nicely with given sectors
including economic taxonomy (such as business sectors of
the companies provided by Forbes) and geographical region
(such as Asia and Europe). From clusters, we can also identify
 currency stock crypto degree criterion influence criterion
ZEC ZEC
0.75 0.75 1.0 XRP XRP
XMR XMR
mean

0.50 0.50
0.5 XLM XLM
XEM XEM
0.25 0.25
WAVES WAVES
0.0 STRAT STRAT
0.12
02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 STEEM SNT
0.06 SNT SC
0.075
SC REP
variance

0.10
0.050 REP QTUM
0.08
0.04
QTUM OMG
0.025 OMG NEO
0.06 0.02 NEO NANO
02/1508/1502/1608/1602/1708/1702/1808/18
0.000
02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 NANO MIOTA
1 MIOTA LTC
1 2 LTC LSK
skewness

0 LSK ETH
0 0 ETH ETC
−1 ETC DOGE
−1 DOGE DASH
−2
−2 DASH
02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 BTS BTS
2 BTC BTC
4 BCH BCH
BAT BAT
kurtosis

1 5
ARK ARK
0
2
ARDR ARDR
−1 0
0 ADA ADA
02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 02/1508/1502/1608/1602/1708/1702/1808/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18
time (mon/year)
time (mon/year)

Fig. 1. Distribution of the correlation matrix and asset tree. Fig. 2. Central node over time in cryptocurrency market according to degree
criterion (left), weighted degree criterion (right).

assets that are actively in play and effectively dominating the

financial market. Changes of the clusters may be caused by is positive, while the correlation of mean and skewness is
the market activities as illustrated in [15] and [18]. Here, negative.
we analyze how asset nodes are clustered and analyze the
B. Centrality Structure
evolution of clusters in the financial market.
The central node is considered as the parent node of all the
III. R ESULTS other nodes in the asset tree, it is important as any change
In this section, we first investigate the cryptocurrency mar- in its price will strongly infect the whole market. We identify
ket, then compare it with the other two traditional markets. the central node using two criteria. The first criterion is the
node with the highest degree. And the second criterion is the
A. Temporal Volatility node with the highest influence strength (the sum of correlation
We first characterize the distribution of the correlation ma- coefficients of edges).
trix using four descriptive statistics: mean, variance, skewness, In the cryptocurrency market, as shown in Fig. 2, the
and kurtosis. We examine events occurred in the same period, two criteria yield similar results and coincide with 87.3%
list and classify major events in Table IV. As shown in Fig. 1, of the time windows. Overall, Bitcoin is the central node in
in times of market uncertainty and turmoil, these indicators the early days, as it was the earliest and almost all major
are in changes, indicating that the effect of financial events cryptocurrencies had to use Bitcoin as a medium to exchange
on the correlation matrix is obvious, which is consistent with with fiat currency or other cryptocurrencies. Its dominant role
foreign exchange markets and stock markets. weakened over time and the central node becomes diversified
As to the asset trees, during the financial events, the as more than 30 of 50 cryptocurrencies have been the cen-
fluctuations in the distribution of the asset tree are similar tral nodes. A possible reason is that when bitcoin becomes
to those of the correlation matrix. In addition, we calculate overvalued, volatile and some defects appear, people look for
the Pearson’s linear correlation of the four indicators between alternative cryptocurrencies.
the two and list them in Table III. -0.984 illustrates that the For comparison, using the weighted degree criterion, we
mean correlation coefficient and the normalized tree length calculate the frequency of central nodes in all three markets
are strongly anti-correlated. Consequently, the asset tree can as shown in Fig. 3. In the foreign exchange market, the top
maintain most, but not all, of the properties of the correlation four currencies (EUR in Europe, CZK in Czechia, DKK in
matrix and it is a good representation by reducing the element Denmark, and SGD in Singapore) dominate. In the stock
number from N (N − 1)/2 to N − 1. Regarding the temporal market, central nodes spread across multiple stocks. In the
volatility in the asset trees, the three financial markets are
consistent. Specifically, the correlation of variance and kurtosis
currency stock crypto
MXN
JPM WAVES
SGD EMR OMG
XEM
TABLE III MS BTS
EUR AMGN ADA BTC
P EARSON ’ S CORRELATION OF FOUR INDICATORS BETWEEN CORRELATION FB DOGE
USB HON LTC
MATRIX AND ASSET TREE . LSK
PEP
DKK MMM DASH
BRK-B
Mean Variance Skewness Kurtosis ARK
GOOGL
MA BAC XLM
CZK C NEO ETH
Foreign exchange market -0.777 0.493 -0.595 0.484
Stock market -0.965 0.742 -0.797 0.696
Cryptocurrency market -0.984 0.428 -0.897 0.438 Fig. 3. Distribution of central nodes in different financial markets.
 TABLE IV
T HE SET OF HISTORICAL EVENTS .

Date Event type Country Event

6/20/16 Market - DAO Fork of Ethereum to head off the DAO hacker.
8/2/16 Hacking - Nearly 120,000 units of bitcoin worth about US$72 million was stolen from the exchange platform Bitfinex.
9/9/16 Market US The shocking news of Donald Trump’s election victory rattled markets across the world.
4/1/17 Policy JP Japan categorized digital currencies as a legal payment method within the country.
7/25/17 Policy US The SEC’s Office of Investor Education and Advocacy issued an Investor Bulletin to make investors aware of the
potential risks of participating in ICOs.
9/4/17 Policy CN The People’s Bank of China (PBoC) and several associated Chinese government agencies announced that initial
coin offerings (token offerings) are prohibited.
12/17/17 Market - The Cboe Bitcoin Futures Contract uses the ticker XBT and equals one bitcoin. The CME Bitcoin Futures Contract
will use the ticker BTC and will equal five bitcoins.
3/7/18 Policy US US Regulator SEC says crypto exchanges must register with the agency.
5/11/18 Market ROK Prosecutors raided UpBit, the largest cryptocurrency exchange in South Korea, on suspicion of fraud.
6/10/18 Hacking ROK South Korean crypto exchange CoinRail has been hacked.

1.0 0
TABLE V
10
S URVIVAL RATIOS AMONG MARKETS
0.9
single-step survival ratio

Single-step T (1/2) T (1/3) T (≤0.1)

multi-step survival ratio

−1
0.8 10

0.7
Foreign exchange market 0.932 18 39 154
0.6 10
−2
Stock market 0.925 16 34 153
0.5
Cryptocurrency market 0.916 14 28 85
−3
0.4 10

0.3
02/15 08/15 02/16 08/16 02/17 08/17
time (mon/year)
Fig. 4. Single-step survival ratio (left) and multi-step survival ratio (right)
in the cryptocurrency market. In the left of the figure, the average value is
indicated by the horizontal line (green).
cryptocurrency market, except for Bitcoin’s dominance, other
central nodes are relatively diverse. In terms of the behavior
of central nodes, the cryptocurrency market is more similar to
the stock market, as changeable central nodes indicating that
the market is in a continual transformation and development
stage.
C. Robustness
In order to investigate the robustness of asset tree topology,
we use the single-step survival ratio to measure the short-
term behavior of the edges. In the cryptocurrency market,
we observe the following phenomena from Fig. 4. First,
the average value of the single-step survival ratio is 0.916,
implying that a large majority of links between trees survive
from one window to the next and the trees are stable overall.
Second, the prominent dips reveal that a strong topological
reconfiguration of the tree is taking place, and they are
positioned around financial events as noted before, indicating
that tree reconfiguration takes place during the crash.
Comparing the average value of single-step ratios listed in
Table V, we find that though the values of the three markets
are high, the value in the foreign exchange market is the
highest, the value in the stock market follows, and the value
in the cryptocurrency market is the lowest, which reflects the
difference in market stability to some extent. Hence, regarding
the single-step ratio, the behavior of the cryptocurrency market
0 1 2
02/18 08/18 10 10 10
day is similar to the behavior of the foreign exchange market and
the stock market. To some extent, it can be used to reflect
differences in market stability.
We adopt the multi-step survival ratio to investigate the
long-term evolutionary characteristics of trees. According to
Table V, in the cryptocurrency market, the half-life, the
concept from physics indicating the time it takes to halve
the ratio, is 14 days. About 1/3 of the links remain after
nearly 1 month, and less than 10% of the links survive after
nearly 3 months. Subsequently, comparing with the other two
markets in Table V, we can conclude that the survival ratio of
the foreign exchange market is the highest, followed by the
stock market, and the ratio of the cryptocurrency market is
the lowest, illustrating that the cryptocurrency market is more
fragile than the traditional financial market.
D. Clustering Structure
Using the clusters of the asset tree, it is possible to obtain
a meaningful economic taxonomy of the assets and identify
assets that are actively in play and effectively dominating the
financial market.
The top side of Fig. 5 shows an example of an asset tree with
a 3-month time window in September 2017, the nodes from
the same cluster are marked by the same color and the node
size is determined by its weighted degree. As we can see, at
the top left of the tree is a strong ZEC cluster. Adjacent is an
apparent orange-colored cluster where ETH dominates. And
OMG, KMD, ETC, and BCN are the centers of the other four
clusters respectively. The equivalent asset tree 3 months later
is shown on the bottom side of Fig. 5, we can observe that the
trees do change over time. In the ZEC cluster, a central node
and several nodes around it survive, while the other clusters
 currency stock crypto
0.35 0.6

mean correlation
0.30 0.5 0.6
KCS 0.4
0.25 0.4
VEN 0.3
XVG
0.20
BNB AE 0.2 0.2
QTUM BTC 0.15 0.1
PPT WTC STEEM BCN
TRX STRAT KMD 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18
LTC KNC 1.2
ZRX DASH XRP BAT DOGE 0.9
ARK

normalized tree
0.85
ZEC ETH REP OMG EOS VERI
0.8
1.0

WAVES XRB 0.80

XMR DCR
SC NEO 0.8

MIOTA LSK PIVX 0.7

XEM GAS RHOC 0.75
ICX 0.6
XLM ARDR ETC HSR 0.6
ADA
BCH SNT 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18

BTG 0.125
BTS 0.5
0.3
0.100
0.4

risk
0.075 0.2 0.3

0.050 0.2
0.1
0.1
0.025
ZEC XMR VEN 02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18
0.0
02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18
0.0
02/15 08/15 02/16 08/16 02/17 08/17 02/18 08/18

time (mon/year)

GAS
HSR BTG
QTUM ETC NEO
RHOC
REP
MIOTA ETH
AE
OMG
EOS
STEEM ICX
XRP
XLM
SNT
XEM ADA
Fig. 5. The asset tree in September 2017 (left) and December 2017 (right)
in the cryptocurrency market.
are newly generated by merging, separating, and recombining
as follows: the ETH and the ETC cluster are merged to a new
cluster, and three new clusters have been formed. The obvious
changes in the tree topology indicate financial events.
For comparison, we conduct a cluster analysis of asset
trees in other markets. We found that in the foreign exchange
market, clusters are consistent with the geographical regions,
and in the stock market, clusters are in accordance with the
business sector. Nevertheless, the cryptocurrency market does
not have evident clustering rules, and clusters change more
rapidly.
E. Portfolio Risk
Finally, we adopt the minimum portfolio risk to measure
the influence of occurrence of an event on a certain number
of assets in the market, which is useful in system risk analysis
and decision-making processes in the financial market.
First, we determine how the assets included in the minimum
portfolio risk are located with respect to the central node.
We find that the weighted portfolio layer is higher than the
mean occupation layer most of the time, and the differences
between the layers in the three markets are 0.67, 1.38, and 0.31
respectively. That is, the assets included in the minimum risk
portfolio are consistently located further away from the central
node (distributed on the outskirts of the tree), as measured
against the corresponding mean occupation layer, most of the
time. Also, the behavior of the three markets is consistent in
the weighted portfolio layer.
In Fig. 6, we plot the minimum risk as a function of
time. We find that in the stock market and the cryptocur-
rency market, there exists a remarkable similarity between
WTC BCH
DASH KMD
VERI
BTC
TRX LSK
Fig. 6. Minimum risk, mean correlation coefficient, and normalized tree
LTC ARK NANO length.
PIVX DCR
WAVES
ZRX
BTS
DOGE
the risk curve, the curve of the mean correlation coefficient,
STRAT
BNB
KCS and the curve of the normalized tree length. Specifically,
BCN
ARDR BAT SC the correlation coefficients between the risk and the mean
KNC
PPT XVG correlation coefficient are 0.952 and 0.906 respectively, and
the coefficients between the risk and the normalized tree length
are -0.928 and -0.788 respectively. Therefore, for the two
datasets, the normalized tree length is able to explain the
diversification potential of the market, though not as strongly
as the mean correlation coefficient. In the foreign exchange
market, though the correlations between the two curves are
not very evident, with coefficients being 0.220 and -0.133, the
curves are correlated or anti-correlated during the fluctuations.
In conclusion, for portfolio analysis, the distribution of
assets included in the minimum risk is consistent and these
assets are located on the outskirts of the asset tree. Although
the behavior of the normalized tree length is relevant to the
diversification potential of these three markets, the behavior
of the cryptocurrency is more similar to the stock.
IV. C ONCLUSION
In this paper, we analyzed the dynamic characteristics of
the cryptocurrency market and compared it with two tradi-
tional financial markets, foreign exchange and stock. Through
experiments, we validated that correlation matrix and asset
tree are effective tools to analyze the cryptocurrency market,
just as good as be employed to analyze the markets of foreign
exchange and stock market. By applying these two tools, we
found that there exist similarities and differences among these
markets, summarized in Table VI, which may shed some light
on investment decisions, regulation, and legislation.
First, as to the temporal volatility of the correlation matrix
and the asset tree and the location of the assets included in
the minimum risk portfolio, the behaviors of the three markets
are similar.
Second, the behavior of the cryptocurrency market is more
similar to that of the stock market with respect to diversity of
the central nodes in centrality and the correlation between the
minimum risk and the mean correlation coefficient/normalized
tree length in the portfolio risk.
 TABLE VI
C OMPARISON AMONG CURRENCY, STOCK , AND CRYPTOCURRENCY MARKETS

Currency Stock Cryptocurrency

Temporal Correlation matrix: average correlation coefficient changes during financial events.
volatility Asset tree: the correlation of variance and kurtosis is positive, and the correlation of mean and skewness is negative.
Centrality Top three nodes constitute most of the Central nodes are diverse. Bitcoin dominates, and other central
central nodes. nodes are diverse.
Robustness The average value of single-step survival ratio is near to 1.
(single-step) During financial events, prominent dips happen.
Robustness
The half-life is 19 days, 1/3 of links The half-life is 16 days, 1/3 of links The half-life is 14 days, 1/3 of links
(multi-step)
remain after 41 days, and less than 10% remain after 34 days, and less than 10% remain after 28 days, and less than 10%
of links remain after 169 days. of links remain after 156 days. of links remain after 85 days.
Clustering Clusters change with major economic activity.
structure Clusters match nicely with the geo- Clusters correspond to geographical re- Clusters have no evident rules. Clusters
graphical regions. gions or business sector. change more rapidly.
The assets included in the minimum risk portfolio are located in the outer regions of the trees most of the time.
Portfolio
The minimum risk is correlated with the mean correlation coefficient and anti-correlated with the normalized path length.
risk
The correlations between the risk and The correlations between the risk and the other two are evident.
the other two are not very evident.

Third, the cryptocurrency market is more fragile than tra-
ditional markets based on the robustness and the clustering
structure. Regarding robustness, we found that the foreign
exchange market is a stable market and the stock market is less
stable, while the cryptocurrency market is a fragile market. As
to the clustering structure, unlike the foreign exchange market
which is clustered based on the geographical region and the
stock market which is clustered in accordance with economic
taxonomy or geographical region, the cryptocurrency market
exhibits no apparent clustering rule and changes more rapidly.
The fragility of the cryptocurrency market may result from
economic drivers, public recognition and interest, and techni-
cal drivers.
V. ACKNOWLEDGEMENT
This work was supported in part by the National Key
Research and Development Program of China under Grant
2016QY02D0305 and 2017YFC0820105, the National Natural
Science Foundation of China under Grants 71621002 and
71702181, as well as the Key Research Program of the Chinese
Academy of Sciences under Grant ZDRW-XH-2017-3. Linjing
Li is the corresponding author.
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