Some stylized facts of the cryptocurrency market

Wei Zhang, Pengfei Wang, Xiao Li and Dehua Shen

Applied Economics, 2018, vol. 50, issue 55, 5950-5965

Abstract: We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

Date: 2018
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DOI: 10.1080/00036846.2018.1488076

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