Bitcoin price volume: A multifractal cross-correlation approach

【Author】 El Alaoui, Marwane; Bouri, Elie; Roubau, David

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】We study the price-volume cross-correlation in the Bitcoin market from July 17, 2010, to May 2, 2018, via the multifractal detrended cross-correlations analysis (MF-DCCA). Results show that Bitcoin prices changes and changes in trading volume mutually interact in a nonlinear way. Furthermore, multifractality is present and significant. By bringing fractal market and nonlinear theories into the analysis of Bitcoin price-volume behavior, we characterize the underlying mechanisms (i.e., nonlinear dependency and multifractality) that govern Bitcoin market dynamics. This deepens our insights into the effectiveness of technical trading strategies in the complex market of Bitcoin that seems to lack efficiency.

【Keywords】Bitcoin; Price-volume analysis; Cross-correlation; Multifractality; MF-OCCA

【发表时间】2019 DEC

【收录时间】2022-01-02

【文献类型】

【主题类别】

--