PRICE–VOLUME DEPENDENCE OF BITCOIN AND ITS FRACTAL ANALYSIS

Mária Bohdalová () and Michal Greguš ()
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Mária Bohdalová: Comenius University in Bratislava, Faculty of Management, Slovakia
Michal Greguš: Comenius University in Bratislava, Faculty of Management, Slovakia

CBU International Conference Proceedings, 2019, vol. 7, issue 0, 35-41

Abstract: Nowadays Bitcoin as cryptocurrency takes a significant place on the global financial markets. This paper analyzes the Bitcoin closing prices and traded volume during the period from December 28, 2013 to January 22, 2019. This period is known as a period with rapid increasing of the Bitcoin closing prices, mainly in the second half of the year 2017. The aim of this paper is twofold. First, we compute the Hurst coefficient to discover the close price dynamics and traded volume using a fractal point of view. We have discovered an anti-persistent behavior in the traded volume and random character of bitcoin closing prices. Second, we propose an analysis of the relationship between the close prices and traded volume. Our findings show how changes in the high-price period differ from changes in the low-price period. We also found that high prices caused investors to be afraid to trade due to possible rapid decrease in bitcoin closing prices.

Keywords: cryptocurrency; Bitcoin; R/S analysis; quantile regression (search for similar items in EconPapers)
JEL-codes: C21 D53 G12 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:aad:iseicj:v:7:y:2019:i:0:p:35-41

DOI: 10.12955/cbup.v7.1338

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