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Price–Volume Dependence Of Bitcoin And Its Fractal Analysis

Author

Listed:
  • Mária Bohdalová

    (Comenius University in Bratislava, Faculty of Management, Slovakia)

  • Michal Greguš

    (Comenius University in Bratislava, Faculty of Management, Slovakia)

Abstract

Nowadays Bitcoin as cryptocurrency takes a significant place on the global financial markets. This paper analyzes the Bitcoin closing prices and traded volume during the period from December 28, 2013 to January 22, 2019. This period is known as a period with rapid increasing of the Bitcoin closing prices, mainly in the second half of the year 2017. The aim of this paper is twofold. First, we compute the Hurst coefficient to discover the close price dynamics and traded volume using a fractal point of view. We have discovered an anti-persistent behavior in the traded volume and random character of bitcoin closing prices. Second, we propose an analysis of the relationship between the close prices and traded volume. Our findings show how changes in the high-price period differ from changes in the low-price period. We also found that high prices caused investors to be afraid to trade due to possible rapid decrease in bitcoin closing prices.

Suggested Citation

  • Mária Bohdalová & Michal Greguš, 2019. "Price–Volume Dependence Of Bitcoin And Its Fractal Analysis," CBU International Conference Proceedings, ISE Research Institute, vol. 7(0), pages 35-41, September.
    • Handle: RePEc:aad:iseicj:v:7:y:2019:i:0:p:35-41
    DOI: 10.12955/cbup.v7.1338
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    More about this item

    Keywords

    cryptocurrency; Bitcoin; R/S analysis; quantile regression;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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