Complexity and Heterogeneity in Cryptocurrency Prices: An Analysis Based on Gaussian Mixture Model and Consensus Clustering

ABSTRACT This study investigates the daily price patterns and behavioral similarities among cryptocurrencies, focusing on two key research questions: (1) Do cryptocurrency prices vary consistently throughout the day? (2) Can cryptocurrencies be meaningfully grouped based on their behavioral patterns? Using Gaussian mixture models (GMMs), we analyze the opening, closing, high, and low prices of a broad range of cryptocurrencies. The findings reveal that while opening prices exhibit uniform patterns, closing, high, and low prices show more complex, multi‐component behaviors, reflecting diverse market dynamics throughout the day. Consensus clustering identifies four distinct cryptocurrency clusters, each demonstrating unique price behaviors, challenging the notion of cryptocurrencies as a homogeneous group. The results suggest that cryptocurrencies behave as differentiated financial products, influenced by factors such as volatility, adoption, and technology. These findings contribute to the understanding of cryptocurrency market dynamics and have implications for investment strategies, risk management, and regulatory approaches.