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Multifractal behavior of price and volume changes in the cryptocurrency market

Darko Stosic, Dusan Stosic, Teresa B. Ludermir and Tatijana Stosic

Physica A: Statistical Mechanics and its Applications, 2019, vol. 520, issue C, 54-61

Abstract: The cryptocurrency market has emerged in recent years with profound implications to central financial institutions such as banking. Bitcoin and other popular cryptocurrencies were recently analyzed using methods from statistical physics, but focus was exclusively on behavior of prices. Here we explore multifractal behavior of daily price changes and daily volume changes of fifty cryptocurrencies using the multifractal detrended fluctuation analysis (MF-DFA). Our results indicate that price changes are more complex than volume changes, and that large and small fluctuations dominate multifractal behavior of price and volume changes, respectively. We also find there is an absence of correlations in price changes, while volume changes present anti-persistent long-term correlations. Shuffling the series reveals that multifractality of both price and volume changes arises from a broad probability density function. The multifractal behavior of the cryptocurrency market is surprisingly similar to that of stock markets, but differs from that of regular exchange rates.

Keywords: Price change; Volume change; Bitcoin; Cryptocurrency market; Multifractal detrended fluctuation analysis (search for similar items in EconPapers)
Date: 2019
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