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The high frequency multifractal properties of Bitcoin
Technol Educ Inst Peloponnese, Greece.
Technol Educ Inst Peloponnese, Greece.
European Univ Inst, Italy; Athens Univ Econ and Business, Greece.
ESCA Sch Management, Morocco.
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2019 (English)In: Physica A: Statistical Mechanics and its Applications, ISSN 0378-4371, E-ISSN 1873-2119, Vol. 520, p. 62-71Article in journal (Refereed) Published
Abstract [en]

Following the new advances in encryption and network computing, Bitcoin emerged as a private sector system facilitating peer-to-peer exchange via distributed ledgers based on blockchains, driving a transformational change towards a global economy outside the core financial system. The main purpose of this paper is to examine the multifractal properties of the Bitcoin price using high frequency data. The methods used are the wavelet transform modulus maxima and the multifractal detrended fluctuation analysis. The results indicate that Bitcoin exhibits a large degree of multifractality in all examined time intervals, and the main source of multifractality is attributed to the high kurtosis and the fat distributional tails of the series returns. (C) 2019 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE BV , 2019. Vol. 520, p. 62-71
Keywords [en]
Bitcoin; Wavelet transform; Detrended fluctuation analysis; Chaos; Fractality
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-157214DOI: 10.1016/j.physa.2018.12.037ISI: 000464301200007OAI: oai:DiVA.org:liu-157214DiVA, id: diva2:1324394
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundation

Available from: 2019-06-13 Created: 2019-06-13 Last updated: 2019-06-13

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Uddin, Gazi Salah
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  • Other style
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  • de-DE
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  • nn-NB
  • sv-SE
  • Other locale
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Output format
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  • asciidoc
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