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The high frequency multifractal properties of Bitcoin
16 references·6 citing·32 second hop
The high frequency multifractal properties of Bitcoin (2019)The high frequency multifractal propertie…Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen? (2018)Does Bitcoin exhibit the same…Some stylized facts of the Bitcoin market (2017)Some stylized facts of the Bi…Chaos, randomness and multi-fractality in Bitcoin market (2017)Chaos, randomness and multi-f…The Inefficiency of Bitcoin (2016)The Inefficiency of BitcoinFractal and Multifractal Time Series (2009)Fractal and Multifractal Time…Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange (2008)Does financial market liberal…Comparison of detrending methods for fluctuation analysis (2008)Comparison of detrending meth…A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate (2005)A multifractal detrended fluc…Scaling behaviors in differently developed markets (2003)Scaling behaviors in differen…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Multifractal random walk (2001)Multifractal random walkEffect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS (1994)THE MULTIFRACTAL FORMALISM RE…Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Wavelets and multifractal for…The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis (2024)The use of high-frequency dat…Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework (2021)Time-Varying Nexus between In…An investigation of cryptocurrency data: the market that never sleeps (2021)An investigation of cryptocur…Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour (2020)Are clean energy stocks effic…All the frequencies matter in the Bitcoin market: an efficiency analysis (2020)All the frequencies matter in…Forecasting of BTC volatility: comparative study between parametric and nonparametric models (2019)Forecasting of BTC volatility…Detecting long-range correlations with detrended fluctuation analysis (2001)Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series (2012)A Tutorial on Multifractality, Cascades, and Interactivity for Empirical Time Series in Ecological Science (2013)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)Volatility estimation for Bitcoin: A comparison of GARCH models (2017)Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Dividend yields and expected stock returns (1988)Time-varying long-term memory in Bitcoin market (2017)Cryptocurrency reaction to FOMC Announcements: Evidence of heterogeneity based on blockchain stack position (2019)Multiscale characteristics of the emerging global cryptocurrency market (2020)Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Physical approach to complex systems (2012)Detrending moving average algorithm for multifractals (2010)Multifractal analysis of financial markets: a review (2019)Multi-scaling in finance (2007)Approaching complexity by stochastic methods: From biological systems to turbulence (2011)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Effect of nonstationarities on detrended fluctuation analysis (2002)Cross-correlations between volume change and price change (2009)Wavelet versus detrended fluctuation analysis of multifractal structures (2006)A multifractal approach for stock market inefficiency (2008)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 2016The Inefficiency of Bitcoin1,292 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data786 cited
  • 1994THE MULTIFRACTAL FORMALISM REVISITED WITH WAVELETS574 cited
  • 2001Multifractal random walk456 cited
  • 2017Some stylized facts of the Bitcoin market449 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2008Comparison of detrending methods for fluctuation analysis315 cited
  • 2003Scaling behaviors in differently developed markets292 cited
  • 2009Fractal and Multifractal Time Series242 cited
  • 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate172 cited
  • 2008Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange169 cited
  • 2018Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?

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162 cited
  • 2017Chaos, randomness and multi-fractality in Bitcoin market160 cited
  • Cited by

    • 2020Are clean energy stocks efficient? Asymmetric multifractal scaling behaviour70 cited
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    • 2019Forecasting of BTC volatility: comparative study between parametric and nonparametric models26 cited
    • 2020All the frequencies matter in the Bitcoin market: an efficiency analysis25 cited
    • 2021An investigation of cryptocurrency data: the market that never sleeps25 cited
    • 2021Time-Varying Nexus between Investor Sentiment and Cryptocurrency Market: New Insights from a Wavelet Coherence Framework23 cited