EconPapers    
Economics at your fingertips  
 

Stylised facts for high frequency cryptocurrency data

Yuanyuan Zhang, Stephen Chan, Jeffrey Chu and Saralees Nadarajah

Physica A: Statistical Mechanics and its Applications, 2019, vol. 513, issue C, 598-612

Abstract: The term ‘stylised facts’ has been extensively researched through the analysis of many different financial datasets. More recently, cryptocurrencies have been investigated as a new type of financial asset, and provide an interesting example, with a current market value of over $500 billion. Here, we analyse the stylised facts in terms of the Hurst exponent, using both the DFA and R/S methods, of the four most popular cryptocurrencies ranked according to their market capitalisation. The analysis is conducted on high frequency returns data with varying lags. In addition to using the Hurst exponent, our analysis also considers features of dependence between the different cryptocurrencies.

Keywords: Bitcoin; Ethereum; Hurst exponent; Tail dependence (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118311567
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:513:y:2019:i:c:p:598-612

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-25
Handle: RePEc:eee:phsmap:v:513:y:2019:i:c:p:598-612