Cryptocurrency momentum effect: DFA and MF-DFA analysis

Qing Cheng, Xinyuan Liu and Xiaowu Zhu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 526, issue C

Abstract: Cryptocurrency has experienced the skyrocketing and falling back in 2018. Beyond the hype, the specific price movements of different cryptocurrencies should be investigated in a more careful way. Since the cryptocurrency market is a non-linear complex system which are not suitable analyzed by tradition methods, this paper introduces methods from econophysics. Mono-fractal analysis (detrended fluctuation analysis, DFA) is applied to investigate the price movement. Further, multi-fractal fluctuation detrended analysis (MF-DFA) is used for robustness test. Through analyzing four representative cryptocurrencies, our paper finds a strong momentum effect in BTC and ETH market, and a reversion effect in XRP and EOS when large fluctuation occurs. These findings may provide a reference for trading strategy in alternative asset allocations.

Keywords: Cryptocurrency; Momentum effect; DFA; MF-DFA (search for similar items in EconPapers)
JEL-codes: C65 G14 (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (27)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437119304480
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:526:y:2019:i:c:s0378437119304480

DOI: 10.1016/j.physa.2019.04.083

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 Catherine Liu ().