Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis

Xin Zhang, Liansheng Yang and Yingming Zhu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 523, issue C, 973-983

Abstract: In this paper, we comprehensively investigate the multifractality of Bitcoin market, find the sources of multifractal features and go further to study the multifractal cross-correlations between Bitcoin prices and other financial markets (gold and USDX). We find both Bitcoin prices and volumes display multifractal features. The fat-tailed distributions have an essential contribution to the multifractality. Long-range correlations of prices are persistent for all fluctuations, while the results of volumes are anti-persistent. We also find significant and multifractal cross-correlations between Bitcoin and gold markets, and both fat-tailed distributions and long-rang correlations contribute to the multifractality. But cross-correlations between Bitcoin and USDX are significant only for long-term.

Keywords: Bitcoin market; Multifractal detrended analysis; Multifractal cross-correlation analysis; MF-DCCA (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:523:y:2019:i:c:p:973-983

DOI: 10.1016/j.physa.2019.04.149

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