Recurrence Interval Analysis of the US Bitcoin Market

【Author】 Alvarez-Ramirez, Jose

【Source】FLUCTUATION AND NOISE LETTERS

【影响因子】1.652

【Abstract】We considered the daily price dynamics of the US Bitcoin market in the period from 2015 to 2022. In the first step, we used a singular value decomposition (SVD) entropy method for assessing time-varying informational efficiency over different time scales, from weeks to quarters. It was shown that the US Bitcoin market has been informationally efficient most of the time, except for some isolated periods where the returns exhibited deviations from the random behavior. The COVID-19 pandemic has not impacted the informational efficiency. This suggests that the Bitcoin market is unpredictable, and no reliable predictions can be obtained. A further analysis was carried out by considering the recurrence intervals for different positive and negative returns. We found that the distribution of recurrence intervals for positive and negative returns is asymmetric, with mean values higher for negative returns. We found that the distribution of recurrence intervals can be described by a stretching exponential distribution, such that the empirical and analytical hazard probabilities as functions of the elapsed time show good agreement.

【Keywords】Bitcoin; informational efficiency; SVD entropy; recurrence interval; stretched exponential distribution

【发表时间】

【收录时间】2023-05-24

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析