Multifractal analysis of Bitcoin market

Antônio Carlos da Silva Filho, Natália Diniz Maganini and Eduardo Fonseca de Almeida

Physica A: Statistical Mechanics and its Applications, 2018, vol. 512, issue C, 954-967

Abstract: The recent emergence and use growth of cryptocurrencies based on Blockchain technology increased interest in the study of its economic dynamics and financial characteristics. Bitcoin is up to now the more widely known and disseminated cryptocurrency, with greater volume of transactions, market value and acceptance in exchange services. In order to contribute to the comprehension of the price behavior of the Bitcoin market, this study analyzes whether the historical series of prices of this currency, quoted every 12 h from September 14, 2011 to November 20, 2017 has multifractal behavior. The results of the research identified multifractal characteristics in the series and that both long-range correlations and fat tails distribution contribute to Bitcoin’s multifractal behavior. We compared the non-Gaussian properties and the multifractality degrees of Bitcoin series with the non-Gaussian properties and multifractality degrees of several stock market indices scattered around the world. In addition, we investigated the power of multifractal analysis in the study of volatility and forecast for this series, pointing to a possible use of multifractal parameters in Technical Analysis.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:512:y:2018:i:c:p:954-967

DOI: 10.1016/j.physa.2018.08.076

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