Measuring Cryptocurrency Price Co-Movement using a Thick Pen

This paper measures integration of the cryptocurrency markets using two so-called Thick Pen methods: the Thick Pen Measure of Association (TPMA) as well as Multi-Thickness Thick Pen Measure of Association (MTTPMA). They allow one to capture time-varying co-movement of different cryptocurrency prices as well as co-movement at different time scales; i.e. short-term and long-term features of the price series. A particular strength in this application is the ability to detect instabilities in price relationships. The analysis shows that there is strong co-movement between the price series under consideration. The paper also critically discusses this finding as cryptocurrencies are characterised by different monetary policies and, thus, are not identical entities.