Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market
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-correlatio...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/8691420 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832564472463491072 |
|---|---|
| author | Wei Zhang Pengfei Wang Xiao Li Dehua Shen |
| author_facet | Wei Zhang Pengfei Wang Xiao Li Dehua Shen |
| author_sort | Wei Zhang |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-596d998e03fb4bf39a35ec616dcc8471 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-596d998e03fb4bf39a35ec616dcc84712025-02-03T01:10:56ZengWileyComplexity1076-27871099-05262018-01-01201810.1155/2018/86914208691420Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin MarketWei Zhang0Pengfei Wang1Xiao Li2Dehua Shen3College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Finance, Nankai University, Tianjin 300350, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaWe 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.http://dx.doi.org/10.1155/2018/8691420 |
| spellingShingle | Wei Zhang Pengfei Wang Xiao Li Dehua Shen Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market Complexity |
| title | Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market |
| title_full | Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market |
| title_fullStr | Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market |
| title_full_unstemmed | Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market |
| title_short | Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market |
| title_sort | multifractal detrended cross correlation analysis of the return volume relationship of bitcoin market |
| url | http://dx.doi.org/10.1155/2018/8691420 |
| work_keys_str_mv | AT weizhang multifractaldetrendedcrosscorrelationanalysisofthereturnvolumerelationshipofbitcoinmarket AT pengfeiwang multifractaldetrendedcrosscorrelationanalysisofthereturnvolumerelationshipofbitcoinmarket AT xiaoli multifractaldetrendedcrosscorrelationanalysisofthereturnvolumerelationshipofbitcoinmarket AT dehuashen multifractaldetrendedcrosscorrelationanalysisofthereturnvolumerelationshipofbitcoinmarket |