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比特币非对称波动和多重分形性的时变特性。

Time-varying properties of asymmetric volatility and multifractality in Bitcoin.

机构信息

Hiroshima University of Economics, Hiroshima, Japan.

出版信息

PLoS One. 2021 Feb 1;16(2):e0246209. doi: 10.1371/journal.pone.0246209. eCollection 2021.

DOI:10.1371/journal.pone.0246209
PMID:33524019
原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC7850481/
Abstract

This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency. Whilst we find an inverted asymmetry in the volatility of Bitcoin, its magnitude changes over time, and recently, it has become small. This asymmetric pattern of volatility also exists in higher frequency returns. Other measurements, such as kurtosis, skewness, average, serial correlation, and multifractal degree, also change over time. Thus, we argue that properties of the Bitcoin market are mostly time dependent. We examine efficiency-related measures: the Hurst exponent, multifractal degree, and kurtosis. We find that when these measures represent that the market is more efficient, the volatility asymmetry weakens. For the recent Bitcoin market, both efficiency-related measures and the volatility asymmetry prove that the market becomes more efficient.

摘要

本研究采用滚动窗口方法研究了比特币日回报率的波动性和比特币市场的多重分形性质，并检验了波动性不对称与市场效率之间的关系。虽然我们发现比特币波动性存在反转不对称，但它的大小随时间而变化，最近已经变得很小。这种波动的不对称模式也存在于更高频率的回报中。其他度量标准，如峰度、偏度、平均值、序列相关性和多重分形度，也随时间变化。因此，我们认为比特币市场的特性主要是时间依赖性的。我们检验了与效率相关的度量标准：赫斯特指数、多重分形度和峰度。我们发现，当这些度量标准表示市场效率更高时，波动性不对称性就会减弱。对于最近的比特币市场，效率相关的度量标准和波动性不对称性都证明市场变得更加有效。

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