COVID-19周围的加密和股票动态、行为和异常现象持续存在 (Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19)

This paper uses new and recently introduced methodologies to study the similarity in the dynamics and behaviours of cryptocurrencies and equities surrounding the COVID-19 pandemic. We study two collections; 45 cryptocurrencies and 72 equities, both independently and in conjunction. First, we examine the evolution of cryptocurrency and equity market dynamics, with a particular focus on their change during the COVID-19 pandemic. We demonstrate markedly more similar dynamics during times of crisis. Next, we apply recently introduced methods to contrast trajectories, erratic behaviours, and extreme values among the two multivariate time series. Finally, we introduce a new framework for determining the persistence of market anomalies over time. Surprisingly, we find that although cryptocurrencies exhibit stronger collective dynamics and correlation in all market conditions, equities behave more similarly in their trajectories, extremes, and show greater persistence in anomalies over time.

翻译：本文使用新的和最近采用的方法研究COVID-19大流行的加密和股票动态和行为的相似性。我们研究了两种收藏;45种加密和72种股票,两者是独立和结合的。首先,我们研究了加密货币和股票市场动态的演变,特别侧重于其在COVID-19大流行期间的变化。我们在危机时期表现出了明显更为相似的动态。接着,我们采用了最近采用的方法来对比两个多变时间序列中的轨迹、反复无常的行为和极端价值。最后,我们引入了一个新的框架来确定市场异常在时间上的持久性。奇怪的是,我们发现虽然加密货币和股票在所有市场条件下都表现出更强的集体动态和关联性,但股票在轨迹、极端方面表现得更加相似,在一段时间的异常中表现出更大的持久性。