Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets

【Author】 Lahmiri, Salim; Bekiros, Stelios

【Source】CHAOS SOLITONS & FRACTALS

【影响因子】9.922

【Abstract】We employ a time-scale multi-fractal decomposition approach to investigate the properties of Bitcoin prices and volume at different sampling rates using high-frequency data. We provide evidence of multifractality at all rates. The big data-driven analysis combined with statistical testing shows evidence of dominant multi-fractal traits within the intervals of 5 mn-90 mn, and 120 mn up to 720 mn. Wavelet leaders comprise a promising algorithmic technique that provides a richer description of the singularity spectrum. In particular, we reveal the distinct heterogeneity of the three log-cumulants for prices and volume between the two distinctive high-frequency sampling intervals. Our findings may assist in devising profitable high-frequency trading strategies in crypto-currency markets. (C) 2019 Elsevier Ltd. All rights reserved.

【Keywords】Bitcoin; Big data; Chaos; Wavelet leaders

【发表时间】2020 FEB

【收录时间】2022-01-02

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