Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis

Walid Mensi, Yun Jung Lee, Khamis Hamed Al-Yahyaee, Ahmet Sensoy, Seong Min Yoon*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

19 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)19-25
Number of pages7
JournalFinance Research Letters
Volume31
DOIs
Publication statusPublished - Dec 1 2019

Keywords

  • Asymmetric MF-DFA method
  • Bitcoin
  • Efficient market hypothesis
  • Ethereum
  • Generalized Hurst exponent
  • High-frequency trading

ASJC Scopus subject areas

  • Finance

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