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Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices

Author

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  • Tim Leung

    (Applied Mathematics Department, University of Washington, Seattle, WA 98195, USA)

  • Theodore Zhao

    (Applied Mathematics Department, University of Washington, Seattle, WA 98195, USA)

Abstract

In this study, we study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis. This is a multiscale noise-assisted approach that decomposes any time series into a number of intrinsic mode functions, along with the corresponding instantaneous amplitudes and instantaneous frequencies. The decomposition is adaptive to the time-varying volatility of each cryptocurrency price evolution. Different combinations of modes allow us to reconstruct the time series using components of different timescales. We then apply Hilbert spectral analysis to define and compute the instantaneous energy-frequency spectrum of each cryptocurrency to illustrate the properties of various timescales embedded in the original time series.

Suggested Citation

  • Tim Leung & Theodore Zhao, 2022. "Adaptive complementary ensemble EMD and energy-frequency spectra of cryptocurrency prices," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-23, March.
    • Handle: RePEc:wsi:ijfexx:v:09:y:2022:i:01:n:s2424786321410085
    DOI: 10.1142/S2424786321410085
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    Cited by:

    1. Tim Leung & Theodore Zhao, 2021. "Multiscale Decomposition and Spectral Analysis of Sector ETF Price Dynamics," JRFM, MDPI, vol. 14(10), pages 1-22, October.
    2. Tim Leung & Theodore Zhao, 2023. "Multiscale Volatility Analysis for Noisy High-Frequency Prices," Risks, MDPI, vol. 11(7), pages 1-20, June.

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