Journal
FINANCE RESEARCH LETTERS
Volume 31, Issue -, Pages 374-381Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2018.12.011
Keywords
Bitcoin; Price-volume analysis; Cross-correlation; Multifractality; MF-OCCA
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We study the price-volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and significant. By bringing fractal market and nonlinear theories into the analysis of Bitcoin price-volume behavior, we characterize the underlying mechanisms (i.e., nonlinear dependency and multifractality) that govern Bitcoin market dynamics. This deepens our insights into the effectiveness of technical trading strategies in the complex market of Bitcoin that seems to lack efficiency.
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