Signatures of the Crypto-Currency Market Decoupling from the Forex

Stanisław Drożdż, Ludovico Minati, Paweł Oświȩcimka, Marek Stanuszek and Marcin Wa̧torek
Additional contact information
Stanisław Drożdż: Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland
Ludovico Minati: Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland
Paweł Oświȩcimka: Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland
Marek Stanuszek: Faculty of Physics, Mathematics and Computer Science, Cracow University of Technology, ul. Warszawska 24, 31-155 Kraków, Poland
Marcin Wa̧torek: Complex Systems Theory Department, Institute of Nuclear Physics, Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland

Future Internet, 2019, vol. 11, issue 7, 1-18

Abstract: Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between 1 July 2016 and 31 December 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchange rate, whose Hurst exponent by the end of 2018 started approaching the value of 0.5, which is characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This could be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.

Keywords: blockchain; bitcoin; ethereum; crypto-currency market; detrended cross-correlation; hurst exponent; multifractality (search for similar items in EconPapers)
JEL-codes: O3 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.mdpi.com/1999-5903/11/7/154/pdf (application/pdf)
https://www.mdpi.com/1999-5903/11/7/154/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jftint:v:11:y:2019:i:7:p:154-:d:247113

Access Statistics for this article

Future Internet is currently edited by Ms. Grace You

More articles in Future Internet from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().