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Quantifying the cross-correlations between online searches and Bitcoin market

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  • Zhang, Wei
  • Wang, Pengfei
  • Li, Xiao
  • Shen, Dehua

Abstract

In this paper, we quantify the cross-correlations between Google Trends and Bitcoin market. By employing the Multifractal Detrended Cross-correlation Analysis (MF-DCCA) method, we find that the change of Google Trends (CGT) and Bitcoin market, i.e., returns and changes of volume, are overall significantly cross-correlated based on the cross-correlation test. In particular, the empirical results show that: (1) there exist power-law cross-correlations between CGT and Bitcoin returns as well as CGT and changes of volume; (2) the cross-correlations between CGT and returns have a higher degree of multifractal in the long-term and weak multifractal in the short-term, while the cross-correlations between CGT and change of volume show the opposite trend. (3) with the rolling window analysis, we further find that there is a decrease trend for the cross-correlations between CGT and Bitcoin returns over time, and the cross-correlations scaling exponents are less than 0.5, which indicate that they are both anti-persistent cross-correlated.

Suggested Citation

  • Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua, 2018. "Quantifying the cross-correlations between online searches and Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 657-672.
    • Handle: RePEc:eee:phsmap:v:509:y:2018:i:c:p:657-672
    DOI: 10.1016/j.physa.2018.06.073
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