Signatures of the crypto-currency market decoupling from the Forex
Authors:
- Stanisław Drożdż,
- Ludovico Minati,
- Paweł Oświęcimka,
- Marek Stanuszek,
- Marcin Wątorek
Abstract
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between 1 July 2016 and 31 December 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchangerate,whoseHurstexponentbytheendof2018startedapproachingthevalueof0.5,whichis characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This could be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.
- Record ID
- CUT71dc95ca3efc416e8249083611d0b806
- Publication categories
- ;
- Author
- Journal series
- Future Internet, ISSN , e-ISSN 1999-5903, Monthly
- Issue year
- 2019
- Vol
- 11
- No
- 7
- Pages
- [1-18]
- Article number
- 154
- Other elements of collation
- wykr.; Bibliografia (na s.) - 16-18; Bibliografia (liczba pozycji) - 60; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 11, Iss. 7, Spec. Iss.
- Substantive notes
- Special Issue: Blockchain Theory and Its Applications
- Keywords in English
- blockchain, bitcoin, ethereum, crypto-currency market, detrended cross-correlation, hurst exponent, multifractality
- DOI
- DOI:10.3390/fi11070154 Opening in a new tab
- URL
- https://www.mdpi.com/1999-5903/11/7/154 Opening in a new tab
- Language
- eng (en) English
- License
- Score (nominal)
- 40
- Publication indicators
- = 54
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT71dc95ca3efc416e8249083611d0b806/
- URN
urn:pkr-prod:CUT71dc95ca3efc416e8249083611d0b806
* 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.