Author, as appears in the article.: Bariviera AF
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio
Keywords: Multifractality Generalized hurst exponent Efficient market hypothesis Cryptocurrencies
Abstract: © 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.
Thematic Areas: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
ISSN: 15446123
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-07-27
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://www.sciencedirect.com/science/article/abs/pii/S1544612320303925
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Finance Research Letters. 39 (101649):
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
Article's DOI: 10.1016/j.frl.2020.101649
Entity: Universitat Rovira i Virgili
Journal publication year: 2021
Publication Type: Journal Publications
Repositori URV