Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market

Wei Zhang, Pengfei Wang, Xiao Li and Dehua Shen

Complexity, 2018, vol. 2018, 1-20

Abstract:

We investigate the cross-correlations of return-volume relationship of the Bitcoin market. In particular, we select eight exchange rates whose trading volume accounts for more than 98% market shares to synthesize Bitcoin indexes. The empirical results based on multifractal detrended cross-correlation analysis (MF-DCCA) reveal that (1) the nonlinear dependencies and power-law cross-correlations in return-volume relationship are found; (2) all cross-correlations are multifractal, and there are antipersistent behaviors of cross-correlation for ; (3) the price of small fluctuations is more persistent than that of the volume, while the volume of larger fluctuations is more antipersistent; and (4) the rolling window method shows that the cross-correlations of return-volume are antipersistent in the entire sample period.

Date: 2018
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:hin:complx:8691420

DOI: 10.1155/2018/8691420

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