  We study the dependency and causality structure of the cryptocurrency market
investigating collective movements of both prices and social sentiment related
to almost two thousand cryptocurrencies traded during the first six months of
2018. This is the first study of the whole cryptocurrency market structure. It
introduces several rigorous innovative methodologies applicable to this and to
several other complex systems where a large number of variables interact in a
non-linear way, which is a distinctive feature of the digital economy. The
analysis of the dependency structure reveals that prices are significantly
correlated with sentiment. The major, most capitalised cryptocurrencies, such
as bitcoin, have a central role in the price correlation network but only a
marginal role in the sentiment network and in the network describing the
interactions between the two. The study of the causality structure reveals a
causality network that is consistently related with the correlation structures
and shows that both prices cause sentiment and sentiment cause prices across
currencies with the latter being stronger in size but smaller in number of
significative interactions. Overall our study uncovers a complex and rich
structure of interrelations where prices and sentiment influence each other
both instantaneously and with lead-lag causal relations. A major finding is
that minor currencies, with small capitalisation, play a crucial role in
shaping the overall dependency and causality structure. Despite the high level
of noise and the short time-series we verified that these networks are
significant with all links statistically validated and with a structural
organisation consistently reproduced across all networks.
