One model is not enough: Heterogeneity in cryptocurrencies' multifractal profiles

【Author】 Bariviera, Aurelio F.

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This letter studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and -more importantly - follow different stochastic processes. Some of them follow models closer to monofractal fractional Gaussian noises, while others exhibit complex multifractal dynamics. Regarding the source of multifractality, our results are mixed. Time series shuffling produces a reduction in the level of multifractality, but not enough to offset it. We find an association of kurtosis with multifractality.

【Keywords】Cryptocurrencies; Generalized Hurst exponent; Multifractality; Efficient market hypothesis

【发表时间】2021 MAR

【收录时间】2022-01-02

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