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Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis

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  • Zhang, Xin
  • Yang, Liansheng
  • Zhu, Yingming

Abstract

In this paper, we comprehensively investigate the multifractality of Bitcoin market, find the sources of multifractal features and go further to study the multifractal cross-correlations between Bitcoin prices and other financial markets (gold and USDX). We find both Bitcoin prices and volumes display multifractal features. The fat-tailed distributions have an essential contribution to the multifractality. Long-range correlations of prices are persistent for all fluctuations, while the results of volumes are anti-persistent. We also find significant and multifractal cross-correlations between Bitcoin and gold markets, and both fat-tailed distributions and long-rang correlations contribute to the multifractality. But cross-correlations between Bitcoin and USDX are significant only for long-term.

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  • Zhang, Xin & Yang, Liansheng & Zhu, Yingming, 2019. "Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 973-983.
    • Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:973-983
    DOI: 10.1016/j.physa.2019.04.149
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    Cited by:

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    9. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
    10. Foued Sa^adaoui, 2023. "Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning," Papers 2304.08440, arXiv.org.
    11. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
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