Multifractal analysis of Bitcoin price dynamics
This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019–2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in economic i...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius Gediminas Technical University
2025-02-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://mla.vgtu.lt/index.php/JBEM/article/view/23025 |
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| Summary: | This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019–2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in economic indicators such as inflation rates and energy commodity prices. The non-linear singularity spectra unveil the multifaceted nature of scaling properties. Temporal analysis exposes intriguing trends in multifractality with implications for market efficiency. Furthermore, correlation analysis unveils connections among multifractal properties. For instance, a positive correlation between oil prices and Bitcoin suggests similar market forces. The log-log plot of fluctuation function Fq versus lag size demonstrates a power-law relationship, characteristic of multifractal systems. The empirical data’s alignment in log-log space suggests self-similarity in the Bitcoin time series, supporting multifractality. The calculated Hurst exponents values suggest varying degrees of multifractality across the years, with 2021 exhibiting the highest degree and 2022 the lowest. Furthermore, an asymmetry index (0.5767) deviating from 0.5 indicates that the multifractal nature of the Bitcoin market is not symmetric. This research enhances risk assessment and portfolio optimization in finance. It challenges the Efficient Market Hypothesis (EMH), emphasizing the significance of MFDFA in comprehending financial market and economic factor’s relationships.
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| ISSN: | 1611-1699 2029-4433 |