Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

Walid Mensi, Yun-Jung Lee, Khamis Hamed Al-Yahyaee, Ahmet Sensoy and Seong-Min Yoon

Finance Research Letters, 2019, vol. 31, issue C, 19-25

Abstract: This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.

Keywords: High-frequency trading; Bitcoin; Ethereum; Efficient market hypothesis; Asymmetric MF-DFA method; Generalized Hurst exponent (search for similar items in EconPapers)
JEL-codes: C58 G14 G15 Q43 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (59)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:31:y:2019:i:c:p:19-25

DOI: 10.1016/j.frl.2019.03.029

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