This is part of my master thesis on topic "Spillovers between cryptocurrencies. Network map of cryptocurrencies".
The aim of thesis is to determine the interaction between different coins and construct network map of cryptocurrencies. To do this, I applied methodology of Variance decomposition based on VAR time series analysis.
To analyze connectedness of cryptocurrencies market:
- Define coins for analysis (your own list or using get-top-coins.ipynb )
- Get historical data (crawl-data.ipynb)
- Run return-network-analysis.R (be sure that you also have functions.R) which provides with different total connectedness measurements of a network (static, dynamic), pairwise connectedness of coins, most connected and less connected coins, individual analysis of particular coin.