Cumulation, crash, coherency: A cryptocurrency bubble wavelet analysis

【Author】 Fruehwirt, Wolfgang; Hochfilzer, Leonhard; Weydemann, Leonard; Roberts, Stephen

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】After its price peaked in 2017, Bitcoin lost almost half of its value in US Dollars within one month, which in turn is likely to have influenced the behaviour of market participants ? many of who were lay investors. We hypothesize that after the peak, there was a structural change in the relationships between cryptocurrencies towards instability, as indicated by increased interdependence. We utilize wavelet coherence analysis of intraday data (5-minute resolution) to investigate the dynamics between a variety of cryptocurrencies in time-frequency space. Accompanied by visualizations depicting bubble dynamics, our robust and highly-significant quantitative results confirm our hypothesis.

【Keywords】Cryptocurrencies; Intraday data; Wavelet coherence; Financial bubbles; Market psychology

【发表时间】2021 MAY

【收录时间】2022-01-02

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