Bitcoin price–volume: A multifractal cross-correlation approach

Marwane El Alaoui, Elie Bouri () and David Roubaud ()

Finance Research Letters, 2019, vol. 31, issue C

Abstract: We study the price–volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and significant. By bringing fractal market and nonlinear theories into the analysis of Bitcoin price-volume behavior, we characterize the underlying mechanisms (i.e., nonlinear dependency and multifractality) that govern Bitcoin market dynamics. This deepens our insights into the effectiveness of technical trading strategies in the complex market of Bitcoin that seems to lack efficiency.

Keywords: Bitcoin; Price–volume analysis; Cross-correlation; Multifractality; MF-DCCA (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318306251

DOI: 10.1016/j.frl.2018.12.011

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