Inner Multifractal Dynamics in the Jumps of Cryptocurrency and Forex Markets

【Author】 Ali, Haider; Aftab, Muhammad; Aslam, Faheem; Ferreira, Paulo

【Source】FRACTAL AND FRACTIONAL

【影响因子】3.577

【Abstract】Jump dynamics in financial markets exhibit significant complexity, often resulting in increased probabilities of subsequent jumps, akin to earthquake aftershocks. This study aims to understand these complexities within a multifractal framework. To do this, we employed the high-frequency intraday data from six major cryptocurrencies (Bitcoin, Ethereum, Litecoin, Dashcoin, EOS, and Ripple) and six major forex markets (Euro, British pound, Canadian dollar, Australian dollar, Swiss franc, and Japanese yen) between 4 August 2019 and 4 October 2023, at 5 min intervals. We began by extracting daily jumps from realized volatility using a MinRV-based approach and then applying Multifractal Detrended Fluctuation Analysis (MFDFA) to those jumps to explore their multifractal characteristics. The results of the MFDFA-especially the fluctuation function, the varying Hurst exponent, and the Renyi exponent-confirm that all of these jump series exhibit significant multifractal properties. However, the range of the Hurst exponent values indicates that Dashcoin has the highest and Litecoin has the lowest multifractal strength. Moreover, all of the jump series show significant persistent behavior and a positive autocorrelation, indicating a higher probability of a positive/negative jump being followed by another positive/negative jump. Additionally, the findings of rolling-window MFDFA with a window length of 250 days reveal persistent behavior most of the time. These findings are useful for market participants, investors, and policymakers in developing portfolio diversification strategies and making important investment decisions, and they could enhance market efficiency and stability.

【Keywords】jumps; multifractality; complexity; MFDFA; rolling window; cryptocurrencies; forex markets

【发表时间】2024 OCT

【收录时间】2024-11-04

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-数字货币