Speculation or currency? Multi-scale analysis of cryptocurrencies-The case of Bitcoin

【Author】 Zhang, Dingxuan; Sun, Yuying; Duan, Hongbo; Hong, Yongmiao; Wang, Shouyang

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This paper proposes a novel two-stage VMD-based multi-scale regression to analyze various cryptocurrency at-tributes that are still unclear in the existing literature. In the first stage, Variational Mode Decomposition (VMD) is used to decompose the cryptocurrency prices into low, medium and high frequency modes with different attributes. In the second stage, the VMD-based multi-scale regression is proposed for these modes with selected explanatory variables. Using the proposed framework, we focus on analyzing the multiple attributes of daily Bitcoin price data as a case study. Empirical results indicate that the low-frequency mode has specific currency or long-term investment characteristics, unlike the short/medium-term investment attributes for the medium-frequency mode, while the high-frequency mode represents some speculation. Some events merely affect a single frequency mode, but others impact all frequency modes. The results of events analysis based on VMD could enhance the identification of the multiple attributes of Bitcoin. Our findings are insightful for future regulation and management of virtual currencies.

【Keywords】Cryptocurrency; Multiple attributes; Variational mode decomposition; Multi-scale regression

【发表时间】2023 JUL

【收录时间】2023-08-10

【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