Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
Authors:
- Stanisław Drożdż,
- Robert Gębarowski,
- Ludovico Minati,
- Paweł Oświęcimka,
- Marcin Wątorek
Abstract
Based on 1-min price changes recorded since year 2012, the fluctuation properties of the rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst exponents, and multiscaling effects. The findings are compared to the stylized facts of mature world markets. While early trading was affected by system-specific irregularities, it is found that over the months preceding April 2018 all these statistical indicators approach the features hallmarking maturity. This can be taken as an indication that the Bitcoin market, and possibly other cryptocurrencies, carry concrete potential of imminently becoming a regular market, alternative to the foreign exchange. Since high-frequency price data are available since the beginning of trading, the Bitcoin offers a unique window into the statistical characteristics of a market maturation trajectory.
- Record ID
- CUTab3388e1435d4f33a917f230fcb6af70
- Publication categories
- ;
- Author
- Journal series
- Chaos: An Interdisciplinary Journal of Nonlinear Science, ISSN 1054-1500, e-ISSN 1089-7682
- Issue year
- 2018
- Vol
- 28
- No
- 7
- Pages
- [1-8]
- Article number
- 071101
- Other elements of collation
- wykr.; Bibliografia (na s.) - 7-8; Bibliografia (liczba pozycji) - 54; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 28, Iss. 7
- Keywords in English
- bitcoin market, fluctuation properties, return distributions, volotality autocorrelation, hurst exponent, multiscaling effects
- DOI
- DOI:10.1063/1.5036517 Opening in a new tab
- URL
- https://aip.scitation.org/doi/10.1063/1.5036517 Opening in a new tab
- Language
- eng (en) English
- Score (nominal)
- 45
- Publication indicators
- = 85
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUTab3388e1435d4f33a917f230fcb6af70/
- URN
urn:pkr-prod:CUTab3388e1435d4f33a917f230fcb6af70
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.