*2.1. Empirical Dataset*

The data set studied contains 1 min quotations of 70 cryptocurrencies that were among the most actively traded on the Binance exchange [56], which had the largest market share in 2022 [57], over the period from 1 January 2020 to 31 December 2022 (3 years). The quotes are expressed in USD Tether (USDT), a stablecoin linked to the US dollar, and its value is close to USD 1 by design [58]. Basic time series statistics corresponding to these 70 cryptocurrencies are collected in Table 1. For a time series of price quotations *Q*(*ti*), *i* = 1, ... , *T*, the equally spaced logarithmic returns *R*Δ*t*(*ti*) = log *Q*(*ti*) − log *Q*(*ti*−1), where *ti* − *ti*−<sup>1</sup> = Δ*t*, are derived. Figure 1 shows the evolution of the cumulative log-returns *R*ˆ <sup>Δ</sup>*t*(*ti*) = ∑*<sup>i</sup> <sup>i</sup>*=<sup>1</sup> *R*Δ*t*(*ti*) during the whole period covered by the data. In accordance with the actual cryptocurrency price quotes, in 2021, the whole market experienced a transition from the bull phase to the bear phase.

**Figure 1.** Evolution of the cumulative log-returns *R*ˆ(*t*) of the 70 cryptocurrencies over the time period from 1 January 2020 to 31 December 2022. The colors of two of the most liquid cryptocurrencies and a few other distinguished ones are indicated explicitly. The bulk of the cryptocurrencies is shown in the background (grey lines).


**Table 1.** Basic statistics of the cryptocurrencies considered in this study: the average inter-transaction time *δt*, the fraction of zero returns in time series %0, the average volume value traded per minute *W*, and market capitalization *C* on 1 January 2023. For the cryptocurrency name list, see Table A1 in Appendix A.
