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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

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  • Mensi, Walid
  • Lee, Yun-Jung
  • Al-Yahyaee, Khamis Hamed
  • Sensoy, Ahmet
  • Yoon, Seong-Min

Abstract

This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.

Suggested Citation

  • Mensi, Walid & Lee, Yun-Jung & Al-Yahyaee, Khamis Hamed & Sensoy, Ahmet & Yoon, Seong-Min, 2019. "Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 31(C), pages 19-25.
    • Handle: RePEc:eee:finlet:v:31:y:2019:i:c:p:19-25
    DOI: 10.1016/j.frl.2019.03.029
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    References listed on IDEAS

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    More about this item

    Keywords

    High-frequency trading; Bitcoin; Ethereum; Efficient market hypothesis; Asymmetric MF-DFA method; Generalized Hurst exponent;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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