TY - JOUR
T1 - Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets
T2 - An asymmetric multifractal detrended fluctuation analysis
AU - Mensi, Walid
AU - Lee, Yun Jung
AU - Al-Yahyaee, Khamis Hamed
AU - Sensoy, Ahmet
AU - Yoon, Seong Min
N1 - Funding Information:
This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2017S1A5B8057488).
Publisher Copyright:
© 2019
PY - 2019/12
Y1 - 2019/12
N2 - This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC)and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less)accentuated when the market follows a downward (upward)movement. The efficiency level varies based on each subperiod.
AB - This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC)and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less)accentuated when the market follows a downward (upward)movement. The efficiency level varies based on each subperiod.
KW - Asymmetric MF-DFA method
KW - Bitcoin
KW - Efficient market hypothesis
KW - Ethereum
KW - Generalized Hurst exponent
KW - High-frequency trading
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U2 - 10.1016/j.frl.2019.03.029
DO - 10.1016/j.frl.2019.03.029
M3 - Article
AN - SCOPUS:85065165891
SN - 1544-6123
VL - 31
SP - 19
EP - 25
JO - Finance Research Letters
JF - Finance Research Letters
ER -