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Stylized Facts of High-Frequency Bitcoin Time Series

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Listed:
  • Yaoyue Tang
  • Karina Arias-Calluari
  • M. N. Najafi
  • Michael S. Harr'e
  • Fernando Alonso-Marroquin

Abstract

This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The Bitcoin price returns for both periods can be described by an anomalous diffusion process, transitioning from subdiffusion for short intervals to weak superdiffusion over longer time intervals. The characteristic features related to this anomalous behavior studied in the present paper include heavy tails, which can be described using a $q$-Gaussian distribution and correlations. When we sample the autocorrelation of absolute returns, we observe a power-law relationship, indicating time dependence in both periods initially. The ensemble autocorrelation of the returns decays rapidly. We fitted the autocorrelation with a power law to capture the decay and found that the second period experienced a slightly higher decay rate. The further study involves the analysis of endogenous effects within the Bitcoin time series, which are examined through detrending analysis. We found that both periods are multifractal and present self-similarity in the detrended probability density function (PDF). The Hurst exponent over short time intervals shifts from less than 0.5 ($\sim$ 0.42) in Period 1 to closer to 0.5 in Period 2 ($\sim$ 0.49), indicating that the market has gained efficiency over time.

Suggested Citation

  • Yaoyue Tang & Karina Arias-Calluari & M. N. Najafi & Michael S. Harr'e & Fernando Alonso-Marroquin, 2024. "Stylized Facts of High-Frequency Bitcoin Time Series," Papers 2402.11930, arXiv.org, revised Jun 2025.
  • Handle: RePEc:arx:papers:2402.11930
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    File URL: http://arxiv.org/pdf/2402.11930
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    Cited by:

    1. Sara A. Safari & Maximilian Janisch & Thomas Leh'ericy, 2025. "International Financial Markets Through 150 Years: Evaluating Stylized Facts," Papers 2504.08611, arXiv.org.

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