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Scaling properties of extreme price fluctuations in Bitcoin markets

Citations

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Cited by:

  1. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
  2. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  3. Masafumi Nakano & Akihiko Takahashi & Soichiro Takahashi, 2018. "Bitcoin Technical Trading with Articial Neural Network," CIRJE F-Series CIRJE-F-1090, CIRJE, Faculty of Economics, University of Tokyo.
  4. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Forecasting, MDPI, vol. 3(2), pages 1-44, May.
  5. 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.
  6. Zhang, Yuanyuan & Chan, Stephen & Chu, Jeffrey & Nadarajah, Saralees, 2019. "Stylised facts for high frequency cryptocurrency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 598-612.
  7. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2020. "Fluctuation and volatility dynamics of stochastic interacting energy futures price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  8. Andrew Spurr & Marcel Ausloos, 2021. "Challenging practical features of Bitcoin by the main altcoins," Quality & Quantity: International Journal of Methodology, Springer, vol. 55(5), pages 1541-1559, October.
  9. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  10. 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).
  11. Eom, Cheoljun & Kaizoji, Taisei & Kang, Sang Hoon & Pichl, Lukas, 2019. "Bitcoin and investor sentiment: Statistical characteristics and predictability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 511-521.
  12. Stefano Martinazzi & Daniele Regoli & Andrea Flori, 2020. "A Tale of Two Layers: The Mutual Relationship between Bitcoin and Lightning Network," Risks, MDPI, vol. 8(4), pages 1-18, December.
  13. Isah, Kazeem O. & Raheem, Ibrahim D., 2019. "The hidden predictive power of cryptocurrencies and QE: Evidence from US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  14. Zhou, Qing & Zhang, Xili, 2020. "Pricing equity warrants in Merton jump–diffusion model with credit risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 557(C).
  15. Mawuli Segnon & Stelios Bekiros, 2020. "Forecasting volatility in bitcoin market," Annals of Finance, Springer, vol. 16(3), pages 435-462, September.
  16. Andrés García-Medina & Graciela González Farías, 2020. "Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model," PLOS ONE, Public Library of Science, vol. 15(1), pages 1-31, January.
  17. Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2021. "Financial Return Distributions: Past, Present, and COVID-19," Papers 2107.06659, arXiv.org.
  18. Kristoufek, Ladislav, 2019. "Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  19. Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Marcin Wk{a}torek, 2023. "What is mature and what is still emerging in the cryptocurrency market?," Papers 2305.05751, arXiv.org.
  20. De Domenico, Federica & Livan, Giacomo & Montagna, Guido & Nicrosini, Oreste, 2023. "Modeling and simulation of financial returns under non-Gaussian distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
  21. Kumar, Anoop S. & Anandarao, S., 2019. "Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 448-458.
  22. Ouandlous, Arav & Barkoulas, John T. & Pantos, Themis D., 2022. "Extremity in bitcoin market activity," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
  23. T. Takaishi, 2021. "Power-Law Return-Volatility Cross Correlations of Bitcoin," Papers 2102.08187, arXiv.org.
  24. Lahmiri, Salim & Bekiros, Stelios, 2019. "Cryptocurrency forecasting with deep learning chaotic neural networks," Chaos, Solitons & Fractals, Elsevier, vol. 118(C), pages 35-40.
  25. Min Shu & Ruiqiang Song & Wei Zhu, 2021. "The 2021 Bitcoin Bubbles and Crashes—Detection and Classification," Stats, MDPI, vol. 4(4), pages 1-21, November.
  26. Masafumi Nakano & Akihiko Takahashi, 2019. "A New Investment Method with AutoEncoder: Applications to Cryptocurrencies," CIRJE F-Series CIRJE-F-1128, CIRJE, Faculty of Economics, University of Tokyo.
  27. Anurag Dutta & M. Gayathri Lakshmi & A. Ramamoorthy & Pijush Kanti Kumar, 2025. "Large Language Models for Nowcasting Cryptocurrency Market Conditions," FinTech, MDPI, vol. 4(4), pages 1-15, September.
  28. Vasu Kalariya & Pushpendra Parmar & Patel Jay & Sudeep Tanwar & Maria Simona Raboaca & Fayez Alqahtani & Amr Tolba & Bogdan-Constantin Neagu, 2022. "Stochastic Neural Networks-Based Algorithmic Trading for the Cryptocurrency Market," Mathematics, MDPI, vol. 10(9), pages 1-15, April.
  29. Pawan Kumar Singh & Alok Kumar Pandey & S. C. Bose, 2023. "A new grey system approach to forecast closing price of Bitcoin, Bionic, Cardano, Dogecoin, Ethereum, XRP Cryptocurrencies," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2429-2446, June.
  30. Saji Thazhungal Govindan Nair, 2021. "On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 14(4), pages 533-561, December.
  31. Laura Alessandretti & Abeer ElBahrawy & Luca Maria Aiello & Andrea Baronchelli, 2018. "Anticipating cryptocurrency prices using machine learning," Papers 1805.08550, arXiv.org, revised Nov 2018.
  32. Arthur A. B. Pessa & Matjaz Perc & Haroldo V. Ribeiro, 2023. "Age and market capitalization drive large price variations of cryptocurrencies," Papers 2302.12319, arXiv.org.
  33. Zhang, Bo & Wang, Guochao & Wang, Yiduan & Zhang, Wei & Wang, Jun, 2019. "Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1012-1025.
  34. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
  35. Federica De Domenico & Giacomo Livan & Guido Montagna & Oreste Nicrosini, 2023. "Modeling and Simulation of Financial Returns under Non-Gaussian Distributions," Papers 2302.02769, arXiv.org.
  36. 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).
  37. Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
  38. Azqueta-Gavaldón, Andrés, 2020. "Causal inference between cryptocurrency narratives and prices: Evidence from a complex dynamic ecosystem," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  39. 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).
  40. F. N. M. de Sousa Filho & J. N. Silva & M. A. Bertella & E. Brigatti, 2020. "The leverage effect and other stylized facts displayed by Bitcoin returns," Papers 2004.05870, arXiv.org, revised Jan 2021.
  41. Li, Mu-Yao & Cai, Qing & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Exponentially decayed double power-law distribution of Bitcoin trade sizes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  42. Shu, Min & Zhu, Wei, 2020. "Real-time prediction of Bitcoin bubble crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  43. Andr'es Garc'ia Medina & Graciela Gonz'alez-Far'ias, 2019. "Determining the number of factors in a forecast model by a random matrix test: cryptocurrencies," Papers 1905.00545, arXiv.org.
  44. Masuhr Andreas & Trede Mark, 2020. "Bayesian estimation of generalized partition of unity copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 119-131, January.
  45. Ji Ho Kwon, 2021. "On the factors of Bitcoin’s value at risk," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-31, December.
  46. Aleksejus Kononovicius & Bronislovas Kaulakys, 2022. "$1/f$ noise from the sequence of nonoverlapping rectangular pulses," Papers 2210.11792, arXiv.org, revised Mar 2023.
  47. Laura Alessandretti & Abeer ElBahrawy & Luca Maria Aiello & Andrea Baronchelli, 2018. "Anticipating Cryptocurrency Prices Using Machine Learning," Complexity, Hindawi, vol. 2018, pages 1-16, November.
  48. Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
  49. Fang, Wen & Tian, Shaolin & Wang, Jun, 2018. "Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 109-120.
  50. Ferreira, Paulo & Kristoufek, Ladislav & Pereira, Eder Johnson de Area Leão, 2020. "DCCA and DMCA correlations of cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  51. Marcin Wk{a}torek & Stanis{l}aw Dro.zd.z & Jaros{l}aw Kwapie'n & Ludovico Minati & Pawe{l} O'swik{e}cimka & Marek Stanuszek, 2020. "Multiscale characteristics of the emerging global cryptocurrency market," Papers 2010.15403, arXiv.org, revised Mar 2021.
  52. Garnier, Josselin & Solna, Knut, 2019. "Chaos and order in the bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 708-721.
  53. Li, Zhenghui & Chen, Liming & Dong, Hao, 2021. "What are bitcoin market reactions to its-related events?," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 1-10.
  54. Tetsuya Takaishi, 2021. "Time-varying properties of asymmetric volatility and multifractality in Bitcoin," Papers 2102.07425, arXiv.org.
  55. Andrea Flori, 2019. "Cryptocurrencies In Finance: Review And Applications," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-22, August.
  56. Mawuli Segnon & Stelios Bekiros, 2019. "Forecasting Volatility in Cryptocurrency Markets," CQE Working Papers 7919, Center for Quantitative Economics (CQE), University of Muenster.
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