Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market

Complexity 2018:1-20 (2018)
  Copy   BIBTEX

Abstract

We investigate the cross-correlations of return-volume relationship of the Bitcoin market. In particular, we select eight exchange rates whose trading volume accounts for more than 98% market shares to synthesize Bitcoin indexes. The empirical results based on multifractal detrended cross-correlation analysis reveal that the nonlinear dependencies and power-law cross-correlations in return-volume relationship are found; all cross-correlations are multifractal, and there are antipersistent behaviors of cross-correlation for q=2; the price of small fluctuations is more persistent than that of the volume, while the volume of larger fluctuations is more antipersistent; and the rolling window method shows that the cross-correlations of return-volume are antipersistent in the entire sample period.

Other Versions

No versions found

Links

PhilArchive



    Upload a copy of this work     Papers currently archived: 99,322

External links

Setup an account with your affiliations in order to access resources via your University's proxy server

Through your library

Similar books and articles

Soren Kierkegaard’s Journals and Papers. [REVIEW]L. P. R. - 1977 - Review of Metaphysics 30 (3):530-531.
Richard Cross.Marilyn McCord Adams & Richard Cross - 2005 - Aristotelian Society Supplementary Volume 79 (1):53-72.

Analytics

Added to PP
2018-07-27

Downloads
61 (#287,739)

6 months
18 (#142,659)

Historical graph of downloads
How can I increase my downloads?