Analysis of inter-transaction time fluctuations in the cryptocurrency market

【Author】 Kwapien, Jaroslaw; Watorek, Marcin; Bezbradica, Marija; Crane, Martin; Mai, TaiTan; Drozdz, Stanislaw

【Source】CHAOS

【影响因子】3.741

【Abstract】We analyze tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded volume, and volatility. We show that the inter-transaction times show long-range power-law autocorrelations. These lead to multifractality expressed by the right-side asymmetry of the singularity spectra f ( alpha ) indicating that the periods of increased market activity are characterized by richer multifractality compared to the periods of quiet market. We also show that neither the stretched exponential distribution nor the power-law-tail distribution is able to model universally the cumulative distribution functions of the quantities considered in this work. For each quantity, some data sets can be modeled by the former and some data sets by the latter, while both fail in other cases. An interesting, yet difficult to account for, observation is that parallel data sets from different trading platforms can show disparate statistical properties. Published under an exclusive license by AIP Publishing.

【Keywords】

【发表时间】2022 AUG

【收录时间】2022-09-06

【文献类型】理论模型

【主题类别】

区块链治理-市场治理-数字货币