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The high frequency multifractal properties of Bitcoin

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  • Stavroyiannis, Stavros
  • Babalos, Vassilios
  • Bekiros, Stelios
  • Lahmiri, Salim
  • Uddin, Gazi Salah

Abstract

Following the new advances in encryption and network computing, Bitcoin emerged as a private sector system facilitating peer-to-peer exchange via distributed ledgers based on blockchains, driving a transformational change towards a global economy outside the core financial system. The main purpose of this paper is to examine the multifractal properties of the Bitcoin price using high frequency data. The methods used are the wavelet transform modulus maxima and the multifractal detrended fluctuation analysis. The results indicate that Bitcoin exhibits a large degree of multifractality in all examined time intervals, and the main source of multifractality is attributed to the high kurtosis and the fat distributional tails of the series returns.

Suggested Citation

  • Stavroyiannis, Stavros & Babalos, Vassilios & Bekiros, Stelios & Lahmiri, Salim & Uddin, Gazi Salah, 2019. "The high frequency multifractal properties of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 62-71.
  • Handle: RePEc:eee:phsmap:v:520:y:2019:i:c:p:62-71
    DOI: 10.1016/j.physa.2018.12.037
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    19. Chan, Stephen & Chu, Jeffrey & Zhang, Yuanyuan & Nadarajah, Saralees, 2022. "An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
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    More about this item

    Keywords

    Bitcoin; Wavelet transform; Detrended fluctuation analysis; Chaos; Fractality;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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