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Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis

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  • Zhang, Xin
  • Yang, Liansheng
  • Zhu, Yingming

Abstract

In this paper, we comprehensively investigate the multifractality of Bitcoin market, find the sources of multifractal features and go further to study the multifractal cross-correlations between Bitcoin prices and other financial markets (gold and USDX). We find both Bitcoin prices and volumes display multifractal features. The fat-tailed distributions have an essential contribution to the multifractality. Long-range correlations of prices are persistent for all fluctuations, while the results of volumes are anti-persistent. We also find significant and multifractal cross-correlations between Bitcoin and gold markets, and both fat-tailed distributions and long-rang correlations contribute to the multifractality. But cross-correlations between Bitcoin and USDX are significant only for long-term.

Suggested Citation

  • Zhang, Xin & Yang, Liansheng & Zhu, Yingming, 2019. "Analysis of multifractal characterization of Bitcoin market based on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 973-983.
    • Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:973-983
    DOI: 10.1016/j.physa.2019.04.149
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    Cited by:

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    12. Shahzad, Syed Jawad Hussain & Bouri, Elie & Kayani, Ghulam Mujtaba & Nasir, Rana Muhammad & Kristoufek, Ladislav, 2020. "Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
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