 Nonlinear dynamics analysis of cryptocurrency price fluctuations based on BitcoinZhongwen Tong, Zhanbo Chen and Chen Zhu Finance Research Letters, 2022, vol. 47, issue PB Abstract: The price fluctuation of cryptocurrencies represented by Bitcoin has nonlinear structure characteristics. We select the Bitcoin closing price data from 2013 to 2021, and use GARCH (1,1)-GED to fit the volatility series. We confirm that Bitcoin price Fluctuation has nonlinear dynamics through BDS test, Hurst exponent, correlation dimension test and Lyapunov exponent. We find that the price fluctuation of cryptocurrency does not obey the random walk, and its fluctuation is positively correlated with time. Bullish information and bearish information have basically the same impact on cryptocurrency fluctuations. Cryptocurrency price fluctuations have cyclical trends and inherent long-term unpredictability, as well as certain fractal and chaos characteristics. ARCH effect and long memory characteristics of cryptocurrency return series show that cryptocurrency price fluctuations are Clustering and persistence. These two characteristics constitute the nonlinear dynamic mechanism of Bitcoin price fluctuation. Overall, our study has important implications for investors and regulators within cryptocurrency markets. Keywords: Cryptocurrency; Nonlinear dynamics analysis; BDS test; Long memory; Price fluctuations (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001155 DOI: 10.1016/j.frl.2022.102803 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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