Nonlinear dynamics analysis of cryptocurrency price fluctuations based on Bitcoin

【Author】 Tong, Zhongwen; Chen, Zhanbo; Zhu, Chen

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】The price fluctuation of cryptocurrencies represented by Bitcoin has nonlinear structure characteristics. We select the Bitcoin closing price data from 2013 to 2021, and use GARCH (1,1)-GED to fit the volatility series. We confirm that Bitcoin price Fluctuation has nonlinear dynamics through BDS test, Hurst exponent, correlation dimension test and Lyapunov exponent. We find that the price fluctuation of cryptocurrency does not obey the random walk, and its fluctuation is positively correlated with time. Bullish information and bearish information have basically the same impact on cryptocurrency fluctuations. Cryptocurrency price fluctuations have cyclical trends and inherent long-term unpredictability, as well as certain fractal and chaos characteristics. ARCH effect and long memory characteristics of cryptocurrency return series show that cryptocurrency price fluctuations are Clustering and persistence. These two characteristics constitute the nonlinear dynamic mechanism of Bitcoin price fluctuation. Overall, our study has important implications for investors and regulators within cryptocurrency markets.

【Keywords】Cryptocurrency; Nonlinear dynamics analysis; BDS test; Long memory; Price fluctuations

【发表时间】2022 JUN

【收录时间】2022-07-30

【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