Exploring asymmetric multifractal cross-correlations of price-volatility and asymmetric volatility dynamics in cryptocurrency markets

【Author】 Kakinaka, Shinji; Umeno, Ken

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】Asymmetric relationship between price and volatility is a prominent feature of the financial market time series. This paper explores the price-volatility nexus in cryptocurrency markets and investigates the presence of asymmetric volatility effect between uptrend (bull) and downtrend (bear) regimes. The conventional GARCH-class models have shown that in cryptocurrency markets, asymmetric reactions of volatility to returns differ from those of other traditional financial assets. We address this issue from a viewpoint of fractal analysis, which can cover the nonlinear interactions and the selfsimilarity properties widely acknowledged in the field of econophysics. The asymmetric cross-correlations between price and volatility for Bitcoin (BTC), Ethereum (ETH), Ripple (XRP), and Litecoin (LTC) during the period from June 1, 2016 to December 28, 2020 are investigated using the MF-ADCCA method and quantified via the asymmetric DCCA coefficient. The approaches take into account the nonlinearity and asymmetric multi-fractal scaling properties, providing new insights in investigating the relationships in a dynamical way. We find that cross-correlations are stronger in downtrend markets than in uptrend markets for maturing BTC and ETH. In contrast, for XRP and LTC, inverted reactions are present where cross-correlations are stronger in uptrend markets. (C) 2021 The Author(s). Published by Elsevier B.V.

【Keywords】Price-volatility cross-correlations; Asymmetric volatility; Cryptocurrency markets; MF-ADCCA; Asymmetric DCCA coefficients

【发表时间】2021 NOV 1

【收录时间】2022-01-01

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