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Multifractal analysis of Bitcoin market

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  • da Silva Filho, Antônio Carlos
  • Maganini, Natália Diniz
  • de Almeida, Eduardo Fonseca

Abstract

The recent emergence and use growth of cryptocurrencies based on Blockchain technology increased interest in the study of its economic dynamics and financial characteristics. Bitcoin is up to now the more widely known and disseminated cryptocurrency, with greater volume of transactions, market value and acceptance in exchange services. In order to contribute to the comprehension of the price behavior of the Bitcoin market, this study analyzes whether the historical series of prices of this currency, quoted every 12 h from September 14, 2011 to November 20, 2017 has multifractal behavior. The results of the research identified multifractal characteristics in the series and that both long-range correlations and fat tails distribution contribute to Bitcoin’s multifractal behavior. We compared the non-Gaussian properties and the multifractality degrees of Bitcoin series with the non-Gaussian properties and multifractality degrees of several stock market indices scattered around the world. In addition, we investigated the power of multifractal analysis in the study of volatility and forecast for this series, pointing to a possible use of multifractal parameters in Technical Analysis.

Suggested Citation

  • da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
    • Handle: RePEc:eee:phsmap:v:512:y:2018:i:c:p:954-967
    DOI: 10.1016/j.physa.2018.08.076
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    Cited by:

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    3. 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.
    4. Takaishi, Tetsuya, 2020. "Rough volatility of Bitcoin," Finance Research Letters, Elsevier, vol. 32(C).
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    6. Kakinaka, Shinji & Umeno, Ken, 2022. "Asymmetric volatility dynamics in cryptocurrency markets on multi-time scales," Research in International Business and Finance, Elsevier, vol. 62(C).
    7. da Cunha, C.R. & da Silva, R., 2020. "Relevant stylized facts about bitcoin: Fluctuations, first return probability, and natural phenomena," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
    8. C. R. da Cunha & R. da Silva, 2019. "Relevant Stylized Facts About Bitcoin: Fluctuations, First Return Probability, and Natural Phenomena," Papers 1905.03211, arXiv.org.
    9. Xiao, Di & Wang, Jun, 2021. "Attitude interaction for financial price behaviours by contact system with small-world network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
    10. Nie, Chun-Xiao, 2020. "Correlation dynamics in the cryptocurrency market based on dimensionality reduction analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
    11. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
    12. Diniz-Maganini, Natalia & Diniz, Eduardo H. & Rasheed, Abdul A., 2021. "Bitcoin’s price efficiency and safe haven properties during the COVID-19 pandemic: A comparison," Research in International Business and Finance, Elsevier, vol. 58(C).
    13. Ahmad Firdaus & Mohd Faizal Ab Razak & Ali Feizollah & Ibrahim Abaker Targio Hashem & Mohamad Hazim & Nor Badrul Anuar, 2019. "The rise of “blockchain”: bibliometric analysis of blockchain study," Scientometrics, Springer;Akadémiai Kiadó, vol. 120(3), pages 1289-1331, September.
    14. Faheem Aslam & Paulo Ferreira & Haider Ali & Sumera Kauser, 2022. "Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 333-359, June.
    15. Diniz-Maganini, Natalia & Rasheed, Abdul A. & Sheng, Hsia Hua, 2021. "Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    16. Fousekis, Panos & Tzaferi, Dimitra, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
    17. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
    18. Telli, Şahin & Chen, Hongzhuan & Zhao, Xufeng, 2022. "Detecting multifractality and exposing distributions of local fluctuations: Detrended fluctuation analysis with descriptive statistics pooling," Chaos, Solitons & Fractals, Elsevier, vol. 155(C).

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