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Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets

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  • Lahmiri, Salim
  • Bekiros, Stelios

Abstract

We employ a time-scale multi-fractal decomposition approach to investigate the properties of Bitcoin prices and volume at different sampling rates using high-frequency data. We provide evidence of multi-fractality at all rates. The big data-driven analysis combined with statistical testing shows evidence of dominant multi-fractal traits within the intervals of 5 mn–90 mn, and 120 mn up to 720 mn. Wavelet leaders comprise a promising algorithmic technique that provides a richer description of the singularity spectrum. In particular, we reveal the distinct heterogeneity of the three log-cumulants for prices and volume between the two distinctive high-frequency sampling intervals. Our findings may assist in devising profitable high-frequency trading strategies in crypto-currency markets.

Suggested Citation

  • Lahmiri, Salim & Bekiros, Stelios, 2020. "Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets," Chaos, Solitons & Fractals, Elsevier, vol. 131(C).
    • Handle: RePEc:eee:chsofr:v:131:y:2020:i:c:s0960077919304187
    DOI: 10.1016/j.chaos.2019.109472
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    References listed on IDEAS

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    Cited by:

    1. Lahmiri, Salim & Bekiros, Stelios, 2021. "The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 151(C).
    2. Esther Cabezas-Rivas & Felipe S'anchez-Coll & Isaac Tormo-Xaixo, 2023. "Chance or Chaos? Fractal geometry aimed to inspect the nature of Bitcoin," Papers 2309.00390, arXiv.org.
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    4. Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).
    5. Yuan, Ying & Zhang, Tonghui, 2020. "Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
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    7. Wang, Feng & Ye, Xin & Chen, HongTao & Wu, Congxin, 2021. "A portfolio strategy of stock market based on mean-MF-X-DMA model," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
    8. Cao, Guangxi & Ling, Meijun, 2022. "Asymmetry and conduction direction of the interdependent structure between cryptocurrency and US dollar, renminbi, and gold markets," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).

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