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Rolling correlations of daily returns

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Data sources and methodology

Daily on-chain transaction volume is calculated as the sum of all transaction outputs belonging to the blocks mined on the given day. Known “change” outputs are not included. Estimation difficulties remain and the measure is imprecise. We discuss this here.

‘Transaction count’ doesn’t include coinbase and coinstake transactions.

Active addresses is the number of unique sending and receiving addresses participating in transactions on the given day. Currently, unavailable for BTC, BCH and BTG.

Value of Created Coins (VoCC) is the USD value of new coins minted on a given day multiplied by the opening price on the same day.

Inflation is computed by dividing created VoCC by network value (“market cap”) which is equivalent to dividing amount of coins minted on the given day by total coin supply on the same day.

NEO and GAS transaction count figures reflect the amount of transactions that have at least one output of given asset type. If transaction sends both NEO and GAS, it will be included in transaction count for both assets. Fees figure is denominated in GAS and calculated by summing the fees of all transactions that have at least one output of a given asset type.

Ripple data includes only transactions of Payment type that transfer XRP tokens.

Stellar transaction volume data covers only operations of Payment and CreateAccount types that transfer XLM tokens. Transaction count is the number of transactions that include at least one operation of aforementioned types. Lumens inflation data is currently unavailable.

NEM data includes only transactions of “Transfer” type.

Zcash figures for on-chain volume and transaction count reflect data collected for transparent transactions only. Some meaningful percent of ZEC transactions are shielded, and these are excluded from the analysis due to their private nature. Please note that our figures for Zcash understate on-chain transaction volume, because we don’t capture shielded transactions. Data on shielded and transparent transactions can be found here and here.

Monero transaction volume, NVT and exchange to transaction volume are impossible to calculate due to RingCT technology which hides the amounts sent for every transaction.

Price data

All coins:

On-chain transaction volume data

Bitcoin: (defunct), blockchain (since August 2017)
Litecoin: blockchain
Decred: blockchain
Dash: blockchain
NEM: blockchain
Ethereum: blockchain
ZCash: blockchain
Dogecoin: blockchain
Ethereum Classic: blockchain
PIVX: blockchain
Monero: blockchain
Bitcoin Cash: blockchain
Vertcoin: blockchain
Verge: blockchain
Digibyte: blockchain
Bitcoin Gold: blockchain
ERC20 tokens: Ethereum blockchain
Cardano: blockchain
Lisk: blockchain
NEO and Gas: blockchain

LIBOR data

ICE Benchmark Administration Limited (IBA), 1-Month London Interbank Offered Rate (LIBOR), based on U.S. Dollar [USD1MTD156N], retrieved from FRED, Federal Reserve Bank of St. Louis;

Dollar index data

Board of Governors of the Federal Reserve System (US), Trade Weighted U.S. Dollar Index: Broad [DTWEXB], retrieved from FRED, Federal Reserve Bank of St. Louis;

Gold data

ICE Benchmark Administration Limited (IBA), Gold Fixing Price 10:30 A.M. (London time) in London Bullion Market, based in U.S. Dollars [GOLDAMGBD228NLBM], retrieved from FRED, Federal Reserve Bank of St. Louis;

S&P 500 data

S&P Dow Jones Indices LLC, S&P 500 [SP500], retrieved from FRED, Federal Reserve Bank of St. Louis;