Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects

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Tác giả: Stanisław Drożdż, Robert Gębarowski, Ludovico Minati, Paweł Oświęcimka, Marcin Wątorek

Ngôn ngữ: eng

Ký hiệu phân loại: 332.46 Monetary policy

Thông tin xuất bản: 2018

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 161887

Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) 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 Apr 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 (Forex). 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.
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