Bitcoin price volume: A multifractal cross-correlation approach

被引：69

作者：

El Alaoui, Marwane ^{[1
]}

Bouri, Elie ^{[2
]}

Roubau, David ^{[3
]}

机构：

[1] Mohammed V Univ Rabat, Fac Legal Econ & Social Sci Agdal, Rabat, Morocco

[2] Holy Spirit Univ Kaslik, USEK Business Sch, Jounieh, Lebanon

[3] Montpellier Business Sch, Montpellier, France

来源：

FINANCE RESEARCH LETTERS | 2019年 / 31卷

关键词：

Bitcoin; Price-volume analysis; Cross-correlation; Multifractality; MF-OCCA; GOLD; VOLATILITY;

D O I：

10.1016/j.frl.2018.12.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the price-volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and significant. By bringing fractal market and nonlinear theories into the analysis of Bitcoin price-volume behavior, we characterize the underlying mechanisms (i.e., nonlinear dependency and multifractality) that govern Bitcoin market dynamics. This deepens our insights into the effectiveness of technical trading strategies in the complex market of Bitcoin that seems to lack efficiency.

引用

页码：374 / 381

页数：8

共 22 条

[1]

Al-Khazali O, 2018, ECON BULL, V38, P373

[2] Long-range correlations and asymmetry in the Bitcoin market [J].