Comparison of Price-Volume Correlation for Some Cryptocurrencies Based on MF-ADCCA

【Author】 Yan, Yan; Shao, Wei; Wang, Jian

【Source】FLUCTUATION AND NOISE LETTERS

【影响因子】1.652

【Abstract】In this paper, we explored the price-volume cross-correlation asymmetric multifractal properties of some cryptocurrencies using multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA). Bitcoin, Ethereum, Tether, Binance Coin, Cardano, and Dogecoin are examples of cryptocurrencies. The empirical results reveal that the price-volume cross-correlations of all six cryptocurrencies display anti-persistent, multifractal, and asymmetric features, although the degree of these characteristics differs depending on the cryptocurrencies and market trends. Specifically, the anti-persistence multifractal of the price-volume cross-correlation is significantly stronger in the upward market than in the downward market for Bitcoin and Ethereum; for the remaining four cryptocurrencies, the opposite result is obtained. Furthermore, Dogecoin price-volume cross-correlation exhibits the most marked anti-persistence and the most significant asymmetric multifractality among the six cryptocurrencies analyzed.

【Keywords】Cryptocurrency; price-volume; DCCA coefficient; MF-ADCCA

【发表时间】2022 JUN

【收录时间】2022-06-02

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币