Visibility graph analysis of Bitcoin price series

Keshi Liu, Tongfeng Weng, Changgui Gu and Huijie Yang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 538, issue C

Abstract: The Bitcoin market attracts special attentions for its inspirational advantages over the traditional currency system. It can be regarded also as a typical social experiment of rare item markets. Analyzing the records for Bitcoin price can deepen our understanding of this market and provide us a useful reference for rare item markets. In this paper, by means of the visibility graph algorithm we display multi-scale patterns of visible relationships in Bitcoin volatility series. It is found that the visibility graph of Bitcoin is scale-free and has a hierarchical structure. At different time scales, the system works subsequently with an identical dynamical mechanism. These behaviors are shared by other virtual currencies and even the gold price series.

Keywords: Bitcoin price series; Visibility graph; Scale-free; Hierarchical structure (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119316723

DOI: 10.1016/j.physa.2019.122952

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