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Multifractal behavior of price and volume changes in the cryptocurrency market

Citations

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Cited by:

  1. Esther Cabezas-Rivas & Felipe S'anchez-Coll & Isaac Tormo-Xaixo, 2023. "Chance or Chaos? Fractal geometry aimed to inspect the nature of Bitcoin," Papers 2309.00390, arXiv.org.
  2. Nick James & Max Menzies & Kevin Chin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Papers 2203.15911, arXiv.org, revised Sep 2022.
  3. James, Nick & Chin, Kevin, 2022. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  4. Foued Saâdaoui & Hana Rabbouch, 2024. "Structured multifractal scaling of the principal cryptocurrencies: Examination using a self‐explainable machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2917-2934, November.
  5. Nick James & Max Menzies, 2021. "Efficiency of communities and financial markets during the 2020 pandemic," Papers 2104.02318, arXiv.org, revised Jul 2021.
  6. James, Nick & Menzies, Max & Chin, Kevin, 2022. "Economic state classification and portfolio optimisation with application to stagflationary environments," Chaos, Solitons & Fractals, Elsevier, vol. 164(C).
  7. Telli, Şahin & Chen, Hongzhuan, 2021. "Multifractal behavior relationship between crypto markets and Wikipedia-Reddit online platforms," Chaos, Solitons & Fractals, Elsevier, vol. 152(C).
  8. Chu, Jeffrey & Chan, Stephen & Zhang, Yuanyuan, 2023. "An analysis of the return–volume relationship in decentralised finance (DeFi)," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 236-254.
  9. Salim Lahmiri, 2024. "Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-12, December.
  10. Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
  11. Stosic, Tatijana & Telesca, Luciano & Stosic, Borko, 2021. "Multiparametric statistical and dynamical analysis of angular high-frequency wind speed time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  12. Moni, M. & Sreeraj, & Sankararaman, S., 2025. "Unveiling the interdependency of cryptocurrency and Indian stocks through wavelet and nonlinear time series analysis: An Econophysics approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 670(C).
  13. 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).
  14. Mohamed Shaker Ahmed & Elie Bouri, 2023. "Long memory and structural breaks of cryptocurrencies trading volume," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(3), pages 469-497, December.
  15. Guo, Yaoqi & Yu, Zhuling & Yu, Chenxi & Cheng, Hui & Chen, Weixun & Zhang, Hongwei, 2021. "Asymmetric multifractal features of the price–volume correlation in China’s gold futures market based on MF-ADCCA," Research in International Business and Finance, Elsevier, vol. 58(C).
  16. Qureshi, Saba & Aftab, Muhammad & Bouri, Elie & Saeed, Tareq, 2020. "Dynamic interdependence of cryptocurrency markets: An analysis across time and frequency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  17. Viviane Senna & Adriano Mendonça Souza, 2023. "Impacts of short and long-term between cryptocurrencies and stock exchange indexes," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(1), pages 97-119, February.
  18. James, Nick & Menzies, Max & Chan, Jennifer, 2021. "Changes to the extreme and erratic behaviour of cryptocurrencies during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  19. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  20. Assaf, Ata & Charif, Husni & Demir, Ender, 2022. "Information sharing among cryptocurrencies: Evidence from mutual information and approximate entropy during COVID-19," Finance Research Letters, Elsevier, vol. 47(PA).
  21. Grobys, Klaus, 2024. "On co-dependent power-law behavior across cryptocurrencies," Finance Research Letters, Elsevier, vol. 63(C).
  22. James, Nick, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
  23. Foued Sa^adaoui, 2023. "Structured Multifractal Scaling of the Principal Cryptocurrencies: Examination using a Self-Explainable Machine Learning," Papers 2304.08440, arXiv.org.
  24. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  25. Kerolly Kedma Felix do Nascimento & Fábio Sandro dos Santos & Jader Silva Jale & Silvio Fernando Alves Xavier Júnior & Tiago A. E. Ferreira, 2023. "Extracting Rules via Markov Chains for Cryptocurrencies Returns Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 61(3), pages 1095-1114, March.
  26. Nick James & Max Menzies, 2023. "An exploration of the mathematical structure and behavioural biases of 21st century financial crises," Papers 2307.15402, arXiv.org, revised Sep 2023.
  27. Zheng, Zhiyong & Lu, Yunfan & Zhang, Junhuan, 2022. "Multiscale complexity fluctuation behaviours of stochastic interacting cryptocurrency price model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
  28. Mellouli Dhoha & Wael Dammak & Hind Alnafisah & Ahmed Jeribi, 2024. "Dynamic spillovers between natural gas and BRICS stock markets during health and political crises," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(2), pages 453-485, June.
  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. Zhao, Xin & Ghaemi Asl, Mahdi & Rashidi, Muhammad Mahdi & Vasa, László & Shahzad, Umer, 2023. "Interoperability of the revolutionary blockchain architectures and Islamic and conventional technology markets: Case of Metaverse, HPB, and Bloknet," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 112-131.
  31. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  32. Nick James & Max Menzies, 2021. "Collective correlations, dynamics, and behavioural inconsistencies of the cryptocurrency market over time," Papers 2107.13926, arXiv.org, revised Dec 2021.
  33. Adeyinka Adediran & Bola Babajide & Nataliia Osina, 2023. "Exploring the nexus between price and volume changes in the cryptocurrency market," Journal of Asset Management, Palgrave Macmillan, vol. 24(6), pages 498-512, October.
  34. Stanisław Drożdż & Ludovico Minati & Paweł Oświȩcimka & Marek Stanuszek & Marcin Wa̧torek, 2019. "Signatures of the Crypto-Currency Market Decoupling from the Forex," Future Internet, MDPI, vol. 11(7), pages 1-18, July.
  35. 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).
  36. Nick James & Kevin Chin, 2021. "On the systemic nature of global inflation, its association with equity markets and financial portfolio implications," Papers 2111.11022, arXiv.org, revised Jan 2022.
  37. Telli, Şahin & Chen, Hongzhuan, 2020. "Multifractal behavior in return and volatility series of Bitcoin and gold in comparison," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  38. Bui, Huy Quoc & Schinckus, Christophe & Al-Jaifi, Hamdan & Lim, Boon-Keong, 2025. "Spontaneous order in cryptocurrency markets: Crash dynamics and complexity–entropy causality plane," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 680(C).
  39. Meghna Jayasankar & P S Niveditha, 2025. "Towards the path of green finance: Unraveling the co-movement between green cryptocurrencies and Bitcoin," Economics Bulletin, AccessEcon, vol. 45(2), pages 919-927.
  40. Nick James, 2021. "Dynamics, behaviours, and anomaly persistence in cryptocurrencies and equities surrounding COVID-19," Papers 2101.00576, arXiv.org, revised Feb 2021.
  41. Cao, Guangxi & Xie, Wenhao, 2021. "The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  42. 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.
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