Economics Program, Economics and Finance Program, and Dean of the College Present

An Information Theory Approach to the Stock and Cryptocurrency Market: A Statistical Equilibrium Perspective

Abstract:
In this paper, we study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and the second includes all the companies listed in the S&P 500. We collect individual data from January 2017 until December 2022. We then apply the Quantal Response Statistical Equilibrium (QRSE) model to recover the cross-sectional frequency distribution of the daily returns of cryptocurrencies and S&P 500 companies. We study the stochastic structure of these two markets and the properties of investors’ behavior over bear and bull trends. Finally, we compare the degree of informational efficiency of these two markets.
 

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Emanuele Citera is an Assistant Professor of Economics at St. Lawrence University. He received a Ph.D. and M.Phil. in Economics from The New School for Social Research, a M.A. Economics and Complexity from Collegio Carlo Alberto, a M.Sc. and a B.Sc. in Business Economics from University of Bologna.

His research focuses on the stochastic structure of financial markets and investors’ speculative behavior, which he investigates through the application of Information Theory and Statistical Equilibrium. Furthermore, he does research on Monetary Economics, Complexity Economics, and History and Methodology of Economics. His work has been published in various academic journals, including Structural Change and Economic Dynamics, Review of Political Economy, and the Annals of the Fondazione Luigi Einaudi.

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For more information, call 845-758-7710, or e-mail [email protected].

Time: 5:00 pm – 6:30 pm EST/GMT-5

Location: Olin 202

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