Some stylized facts of the cryptocurrency market

【Author】 Zhang, Wei; Wang, Pengfei; Li, Xiao; Shen, Dehua

【Source】APPLIED ECONOMICS

【影响因子】1.916

【Abstract】We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

【Keywords】Stylized facts; cryptocurrency market; volatility clustering; heavy tails; autocorrelations; long-range dependence

【发表时间】2018

【收录时间】2022-01-02

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