Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms

Şahin Telli and Hongzhuan Chen

Chaos, Solitons & Fractals, 2021, vol. 152, issue C

Abstract: In this study, we examine the relationship between the crypto markets of Bitcoin, Ethereum, Litecoin, XRP and public attention for the crypto assets on the online platforms Reddit and Wikipedia in terms of the evolution of multifractal characteristics. Public attention and interest are measured by number of Wikipedia pageviews, number of Reddit posts and sentiment analysis of Reddit post titles. Complexity parameters regarding to cross-correlations are retrieved from Multifractal Detrended Cross-Correlations Analysis (MF-DCCA). All the time series mainly indicate varying degree of multifractality for varying periods and anti-persistent behavior dominantly. The cross-correlations regarding to the attention in the crypto assets on Wikipedia and Reddit share slightly different dynamics. Cross-correlations of social platform series with return series have different dynamics than that of with volume change series. The time series regarding to USD and BTC markets of altcoins share similar dynamics with each other and that of Bitcoin in terms of anti-persistence and the degree of multifractality.

Keywords: Bitcoin; Altcoin; Multifractal analysis; Sentiment analysis; Reddit; Wikipedia (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:152:y:2021:i:c:s0960077921006858

DOI: 10.1016/j.chaos.2021.111331

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