Some stylized facts of the Bitcoin market

In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and fo...

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Autores principales: Fernández, Aurelio, Basgall, María José, Hasperué, Waldo, Naiouf, Marcelo
Formato: Articulo Preprint
Lenguaje:Inglés
Publicado: 2017
Materias:
Ciencias Informáticas
Bitcoin
DFA
Hurst
Long memory
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/99135
https://ri.conicet.gov.ar/11336/49747
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-99135
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Informáticas
Bitcoin
Bitcoin
DFA
Hurst
Long memory
spellingShingle Ciencias Informáticas
Bitcoin
Bitcoin
DFA
Hurst
Long memory
Fernández, Aurelio
Basgall, María José
Hasperué, Waldo
Naiouf, Marcelo
Some stylized facts of the Bitcoin market
topic_facet Ciencias Informáticas
Bitcoin
Bitcoin
DFA
Hurst
Long memory
description In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.
format Articulo
Preprint
author Fernández, Aurelio
Basgall, María José
Hasperué, Waldo
Naiouf, Marcelo
author_facet Fernández, Aurelio
Basgall, María José
Hasperué, Waldo
Naiouf, Marcelo
author_sort Fernández, Aurelio
title Some stylized facts of the Bitcoin market
title_short Some stylized facts of the Bitcoin market
title_full Some stylized facts of the Bitcoin market
title_fullStr Some stylized facts of the Bitcoin market
title_full_unstemmed Some stylized facts of the Bitcoin market
title_sort some stylized facts of the bitcoin market
publishDate 2017
url http://sedici.unlp.edu.ar/handle/10915/99135
https://ri.conicet.gov.ar/11336/49747
work_keys_str_mv AT fernandezaurelio somestylizedfactsofthebitcoinmarket
AT basgallmariajose somestylizedfactsofthebitcoinmarket
AT hasperuewaldo somestylizedfactsofthebitcoinmarket
AT naioufmarcelo somestylizedfactsofthebitcoinmarket
bdutipo_str Repositorios
_version_ 1764820492938641409

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