Cryptocurrency momentum effect: DFA and MF-DFA analysis

【Author】 Cheng, Qing; Liu, Xinyuan; Zhu, Xiaowu

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】Cryptocurrency has experienced the skyrocketing and falling back in 2018. Beyond the hype, the specific price movements of different cryptocurrencies should be investigated in a more careful way. Since the cryptocurrency market is a non-linear complex system which are not suitable analyzed by tradition methods, this paper introduces methods from econophysics. Mono-fractal analysis (detrended fluctuation analysis, DFA) is applied to investigate the price movement. Further, multi-fractal fluctuation detrended analysis (MF-DFA) is used for robustness test. Through analyzing four representative cryptocurrencies, our paper finds a strong momentum effect in BTC and ETH market, and a reversion effect in XRP and EOS when large fluctuation occurs. These findings may provide a reference for trading strategy in alternative asset allocations. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Momentum effect; DFA; MF-DFA

【发表时间】2019 15-Jul

【收录时间】2022-01-02

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