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

  • Datos identificativos

    Identificador: imarina:6494743
    Autores:
    Bariviera AF
    Resumen:
    © 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.
  • Otros:

    Autor según el artículo: Bariviera AF
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Fernández Bariviera, Aurelio
    Palabras clave: Multifractality Generalized hurst exponent Efficient market hypothesis Cryptocurrencies
    Resumen: © 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.
    Áreas temáticas: Finance Economia Direito Ciencias sociales Business, finance Administração, ciências contábeis e turismo Administração pública e de empresas, ciências contábeis e turismo
    ISSN: 15446123
    Direcció de correo del autor: aurelio.fernandez@urv.cat
    Identificador del autor: 0000-0003-1014-1010
    Fecha de alta del registro: 2024-07-27
    Versión del articulo depositado: info:eu-repo/semantics/acceptedVersion
    Enlace a la fuente original: https://www.sciencedirect.com/science/article/abs/pii/S1544612320303925
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Finance Research Letters. 39 (101649):
    Referencia 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 del artículo: 10.1016/j.frl.2020.101649
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2021
    Tipo de publicación: Journal Publications
  • Palabras clave:

    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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