94% of researchers rate our articles as excellent or good
Learn more about the work of our research integrity team to safeguard the quality of each article we publish.
Find out more
ORIGINAL RESEARCH article
Front. Phys.
Sec. Interdisciplinary Physics
Volume 13 - 2025 | doi: 10.3389/fphy.2025.1548267
Non-Markovian Nature of Cryptocurrencies
Provisionally accepted- Ege University, Bornova, Türkiye
Select one of your emails
You have multiple emails registered with Frontiers:
Notify me on publication
Please enter your email address:
If you already have an account, please login
You don't have a Frontiers account ? You can register here
Whether financial assets movements have correlation and memory has been an interesting question for physicists. The aim of this study is to investigate whether financial shocks exhibit non-Markovian behavior. In this way, the presence of long-term memory and non-local fluctuations during financial crises is discussed.The non-Markovian behavior of volatility and return during the crashes of cryptocurrencies in 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 for data sets covering the time intervals of approximately 1 year and 3 years after the onset of the crash for 2017. Similar behaviour was observed for 2021, although the analysis does not work for some data sets. In these time intervals, the crash process shows non-Markovian behavior and shocks are shown to have non-local fluctuations and long term memory.
Keywords: Omori-Law, Cryptocurrencies, long-range memory, Non-Markovian, Waiting-time distribution
Received: 19 Dec 2024; Accepted: 14 Apr 2025.
Copyright: © 2025 Celikoglu. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
* Correspondence: Ahmet Celikoglu, Ege University, Bornova, Türkiye
Disclaimer: All claims expressed in this article are solely those of the authors and do not necessarily represent those of their affiliated organizations, or those of the publisher, the editors and the reviewers. Any product that may be evaluated in this article or claim that may be made by its manufacturer is not guaranteed or endorsed by the publisher.