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One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles

  • Dades identificatives

    Identificador: imarina:6494743
    Autors:
    Bariviera AF
    Resum:
    © 2020 Elsevier Inc. This letter studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and –more importantly – follow different stochastic processes. Some of them follow models closer to monofractal fractional Gaussian noises, while others exhibit complex multifractal dynamics. Regarding the source of multifractality, our results are mixed. Time series shuffling produces a reduction in the level of multifractality, but not enough to offset it. We find an association of kurtosis with multifractality.
  • Altres:

    Autor segons l'article: Bariviera AF
    Departament: Gestió d'Empreses
    Autor/s de la URV: Fernández Bariviera, Aurelio
    Paraules clau: Multifractality Generalized hurst exponent Efficient market hypothesis Cryptocurrencies
    Resum: © 2020 Elsevier Inc. This letter studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and –more importantly – follow different stochastic processes. Some of them follow models closer to monofractal fractional Gaussian noises, while others exhibit complex multifractal dynamics. Regarding the source of multifractality, our results are mixed. Time series shuffling produces a reduction in the level of multifractality, but not enough to offset it. We find an association of kurtosis with multifractality.
    Àrees temàtiques: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    ISSN: 15446123
    Adreça de correu electrònic de l'autor: aurelio.fernandez@urv.cat
    Identificador de l'autor: 0000-0003-1014-1010
    Data d'alta del registre: 2024-07-27
    Versió de l'article dipositat: info:eu-repo/semantics/acceptedVersion
    Enllaç font original: https://www.sciencedirect.com/science/article/abs/pii/S1544612320303925
    URL Document de llicència: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referència a l'article segons font original: Finance Research Letters. 39 (101649):
    Referència de l'ítem segons les normes APA: Bariviera AF (2021). One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. Finance Research Letters, 39(101649), -. DOI: 10.1016/j.frl.2020.101649
    DOI de l'article: 10.1016/j.frl.2020.101649
    Entitat: Universitat Rovira i Virgili
    Any de publicació de la revista: 2021
    Tipus de publicació: Journal Publications
  • Paraules clau:

    Business, Finance,Finance
    Multifractality
    Generalized hurst exponent
    Efficient market hypothesis
    Cryptocurrencies
    Finance
    Economia
    Direito
    Ciencias sociales
    Business, finance
    Administração, ciências contábeis e turismo
    Administração pública e de empresas, ciências contábeis e turismo
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