Universality and Heterogeneity of Stylized Facts in Cryptocurrency and Equity Markets
Abstract
This study investigates whether the macroscopic statistical maturity of cryptocurrencies implies dynamical equivalence with an equity-market benchmark. We analyze one-minute data (2020--2025) for Bitcoin, Ethereum, XRP, and E-mini S\&P~500 futures using the Complexity--Entropy Causality Plane (CECP) and directed horizontal visibility graphs (DHVG). While conventional stylized facts overlap across the analyzed assets, cryptocurrencies exhibit weaker local ordinal organization and a larger divergence between their high-degree in- and out-visibility distributions relative to matched surrogate baselines under the primary specification. This high-degree separation is strongest at the one-minute scale and weakens under 5- and 10-minute aggregation, while the direction of the underlying asymmetry remains more asset- and preprocessing-dependent. We therefore conclude only that macroscopic similarity can coexist with diagnostic-specific structural differences in the assets and period examined.
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BibTeX
@misc{kim2026universality,
title = {{Universality and Heterogeneity of Stylized Facts in Cryptocurrency and Equity Markets}},
author = {Jaesung Kim and Changhee Cho and Jae Woo Lee},
howpublished = {arXiv},
year = {2026},
month = sep,
doi = {10.48550/arxiv.2608.10852},
eprint = {2608.10852},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2608.10852},
note = {CC BY-NC-ND 4.0},
}
RIS
TY - UNPB
TI - Universality and Heterogeneity of Stylized Facts in Cryptocurrency and Equity Markets
AU - Jaesung Kim
AU - Changhee Cho
AU - Jae Woo Lee
PY - 2026
DA - 2026/09/17
PB - arXiv
DO - 10.48550/arxiv.2608.10852
UR - https://arxiv.org/abs/2608.10852
AB - This study investigates whether the macroscopic statistical maturity of cryptocurrencies implies dynamical equivalence with an equity-market benchmark. We analyze one-minute data (2020--2025) for Bitcoin, Ethereum, XRP, and E-mini S\&P~500 futures using the Complexity--Entropy Causality Plane (CECP) and directed horizontal visibility graphs (DHVG). While conventional stylized facts overlap across the analyzed assets, cryptocurrencies exhibit weaker local ordinal organization and a larger divergence between their high-degree in- and out-visibility distributions relative to matched surrogate baselines under the primary specification. This high-degree separation is strongest at the one-minute scale and weakens under 5- and 10-minute aggregation, while the direction of the underlying asymmetry remains more asset- and preprocessing-dependent. We therefore conclude only that macroscopic similarity can coexist with diagnostic-specific structural differences in the assets and period examined.
ER -