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Some stylized facts of the Bitcoin market

Author

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  • Bariviera, Aurelio F.
  • Basgall, María José
  • Hasperué, Waldo
  • Naiouf, Marcelo

Abstract

In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.

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  • Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
  • Handle: RePEc:eee:phsmap:v:484:y:2017:i:c:p:82-90
    DOI: 10.1016/j.physa.2017.04.159
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    Cited by:

    1. Afees A. Salisu & Aviral Kumar Tiwari & Ibrahim D. Raheem, 2018. "Analysing the distribution properties of Bitcoin returns," Working Papers 058, Centre for Econometric and Allied Research, University of Ibadan.
    2. repec:eee:ecolet:v:161:y:2017:i:c:p:1-4 is not listed on IDEAS
    3. repec:eee:ecolet:v:158:y:2017:i:c:p:3-6 is not listed on IDEAS
    4. repec:eee:phsmap:v:502:y:2018:i:c:p:49-57 is not listed on IDEAS
    5. Kazeem Isah & Ibrahim D. Raheem, 2018. "The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market," Working Papers 056, Centre for Econometric and Allied Research, University of Ibadan.
    6. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun, 2017. "Persistence in the Cryptocurrency Market," CESifo Working Paper Series 6811, CESifo Group Munich.
    7. Bariviera, Aurelio F., 2017. "The inefficiency of Bitcoin revisited: A dynamic approach," Economics Letters, Elsevier, vol. 161(C), pages 1-4.
    8. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.
    9. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    10. repec:eee:ecolet:v:165:y:2018:i:c:p:28-34 is not listed on IDEAS
    11. Stjepan Beguv{s}i'c & Zvonko Kostanjv{c}ar & H. Eugene Stanley & Boris Podobnik, 2018. "Scaling properties of extreme price fluctuations in Bitcoin markets," Papers 1803.08405, arXiv.org.

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    Keywords

    Bitcoin; Hurst; DFA; Bitcoin; Long memory;

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