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Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets

Salim Lahmiri and Stelios Bekiros

Chaos, Solitons & Fractals, 2020, vol. 131, issue C

Abstract: We employ a time-scale multi-fractal decomposition approach to investigate the properties of Bitcoin prices and volume at different sampling rates using high-frequency data. We provide evidence of multi-fractality at all rates. The big data-driven analysis combined with statistical testing shows evidence of dominant multi-fractal traits within the intervals of 5 mn–90 mn, and 120 mn up to 720 mn. Wavelet leaders comprise a promising algorithmic technique that provides a richer description of the singularity spectrum. In particular, we reveal the distinct heterogeneity of the three log-cumulants for prices and volume between the two distinctive high-frequency sampling intervals. Our findings may assist in devising profitable high-frequency trading strategies in crypto-currency markets.

Keywords: Bitcoin; Big data; Chaos; Wavelet leaders (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304187

DOI: 10.1016/j.chaos.2019.109472

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