Long-range dependence, multi-fractality and volume-return causality of Ether market

【Author】 Han, Qing; Wu, Jiajing; Zheng, Zibin

【Source】CHAOS

【影响因子】3.741

【Abstract】In spite of the increasing popularity of Ethereum, market analysis of the corresponding cryptocurrencies Ether is relatively unexplored until now. This paper is devoted to filling in the research gap of Ether market analysis, the purpose being to provide useful insights on Ether investment. In particular, we first employ the detrended fluctuation analysis and the asymmetric multifractal detrended fluctuation analysis to investigate the properties of long-range dependence, multifractality, and its asymmetry. After that, we study the causality between returns and volume of Ether to find how the activity of investors influences returns based on a nonparametric causality-in-quantiles test. Besides, by making a comparison with the Bitcoin market, we further uncover some unique properties of the Ether market.

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【发表时间】2020 JAN

【收录时间】2022-01-02

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