MULTIFRACTAL BEHAVIOR OF CRYPTOCURRENCIES BEFORE AND DURING COVID-19

【Author】 Shao, Ying-Hui; Xu, Han; Liu, Ying-Lin; Xu, Hai-Chuan

【Source】FRACTALS-COMPLEX GEOMETRY PATTERNS AND SCALING IN NATURE AND SOCIETY

【影响因子】4.555

【Abstract】Based on high-frequency data, we study the difference in cryptocurrency market before and during the COVID-19. We analyze the multifractality of three major cryptocurrencies via the multifractal detrended fluctuation analysis (MFDFA). To investigate the source of multifractality, we construct shuffled, surrogated and truncate data. The results show that market efficiency of cryptocurrency has decreased during COVID-19. The cryptocurrency multifractal characteristics mainly come from non-Gaussian distribution. Additionally, the components of multifractal nature have changed during the pandemic. The results provide evidence for the impact of COVID-19 on cryptocurrency market.

【Keywords】Cryptocurrency; MFDFA; COVID-19; Multifractality; Generalized Hurst Exponent; High-Frequency Data

【发表时间】2021 SEP

【收录时间】2022-01-02

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