Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

被引：91

作者：

Mensi, Walid ^{[1
,2
]}

Lee, Yun-Jung ^{[3
]}

Al-Yahyaee, Khamis Hamed ^{[2
]}

Sensoy, Ahmet ^{[4
]}

Yoon, Seong-Min ^{[5
]}

机构：

[1] Univ Tunis El Manar, Dept Finance & Accounting, Tunis, Tunisia

[2] Sultan Qaboos Univ, Dept Econ & Finance, Muscat, Oman

[3] Pusan Natl Univ, Inst Econ & Int Trade, Busan, South Korea

[4] Bilkent Univ, Fac Business Adm, Ankara, Turkey

[5] Pusan Natl Univ, Dept Econ, 2 Busandaehak Ro 63beon Gil, Busan 46241, South Korea

来源：

FINANCE RESEARCH LETTERS | 2019年 / 31卷

基金：

新加坡国家研究基金会;

关键词：

High-frequency trading; Bitcoin; Ethereum; Efficient market hypothesis; Asymmetric MF-DFA method; Generalized Hurst exponent; INEFFICIENCY; EFFICIENCY;

D O I：

10.1016/j.frl.2019.03.029

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.

引用

页码：19 / 25

页数：7

共 16 条

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