Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices

Majid Mirzaee Ghazani and Reza Khosravi

Physica A: Statistical Mechanics and its Applications, 2020, vol. 560, issue C

Abstract: In this paper, we investigate the cross-correlations between three benchmark cryptocurrencies (including Bitcoin, Ethereum and Ripple) and some of the well-known crude oils (West Texas Intermediate and Brent). The data of the study spans from 7 August 2015 to 10 June 2019. We utilized the multifractal detrending moving average cross-correlation analysis (MF-X-DMA) method to examine the multifractal features among data. We find that the cross-correlations between each pair of time series are significant by using the cross-correlation test statistic Qcc(m)”-analysis and detrended moving average cross-correlation analysis (DMCA) coefficient. Also, the cross-correlation coefficients ρDMCA show that the data are positively correlated, but the degree of correlation has been elevated by increasing the window intervals v. The observed results obtained through the MF-X-DMA method infer the existence of multifractal cross-correlations on ten bivariate time series in the study and that the strength of multifractality between Ethereum and Ripple is the highest, followed by the strength of multifractality between WTI crude oil and Ethereum.

Keywords: Multifractal detrending moving average cross-correlation analysis; Cryptocurrencies; Rolling windows (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:560:y:2020:i:c:s0378437120306129

DOI: 10.1016/j.physa.2020.125172

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