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Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market
Joint Authors
Zhang, Wei
Shen, Dehua
Wang, Pengfei
Li, Xiao
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-20, 20 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-07-26
Country of Publication
Egypt
No. of Pages
20
Main Subjects
Abstract EN
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 (MF-DCCA) reveal that (1) the nonlinear dependencies and power-law cross-correlations in return-volume relationship are found; (2) all cross-correlations are multifractal, and there are antipersistent behaviors of cross-correlation for q=2; (3) the price of small fluctuations is more persistent than that of the volume, while the volume of larger fluctuations is more antipersistent; and (4) the rolling window method shows that the cross-correlations of return-volume are antipersistent in the entire sample period.
American Psychological Association (APA)
Zhang, Wei& Wang, Pengfei& Li, Xiao& Shen, Dehua. 2018. Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market. Complexity،Vol. 2018, no. 2018, pp.1-20.
https://search.emarefa.net/detail/BIM-1136321
Modern Language Association (MLA)
Zhang, Wei…[et al.]. Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market. Complexity No. 2018 (2018), pp.1-20.
https://search.emarefa.net/detail/BIM-1136321
American Medical Association (AMA)
Zhang, Wei& Wang, Pengfei& Li, Xiao& Shen, Dehua. Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market. Complexity. 2018. Vol. 2018, no. 2018, pp.1-20.
https://search.emarefa.net/detail/BIM-1136321
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1136321