Chaos, randomness and multi-fractality in bitcoin market

DOI10.1016/J.CHAOS.2017.11.005zbMath1394.91324OpenAlexW2769091037MaRDI QIDQ722915

Salim Lahmiri, Stelios D. Bekiros

Publication date: 30 July 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.11.005

zbMATH Keywords

chaosLyapunov exponentShannon entropybitcoinmultifractal detrended fluctuation analysis

Mathematics Subject Classification ID

Economic time series analysis (91B84) Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)

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Cites Work

• A Mathematical Theory of Communication
• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• No evidence of chaos but some evidence of dependence in the US stock market.
• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
• Disturbances and complexity in volatility time series
• High level chaos in the exchange and index markets

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