Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study

DOI10.1007/S10690-019-09286-0zbMATH Open1437.91421arXiv1902.09253OpenAlexW3102196605MaRDI QIDQ2180281FDOQ2180281

Authors: T. Takaishi, Takanori Adachi 

Publication date: 13 May 2020

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Abstract: This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.

Full work available at URL: https://arxiv.org/abs/1902.09253

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zbMATH Keywords

Hurst exponentliquiditymultifractalitymarket efficiencycryptocurrencyBitcoin

Mathematics Subject Classification ID

Financial markets (91G15) Fractals (28A80)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Price clustering in bitcoin
• Adaptive market hypothesis and evolving predictability of bitcoin

Cited In (7)

• Bitcoin mining activity and volatility dynamics in the power market
• A singular value decomposition approach for testing the efficiency of bitcoin and ethereum markets
• The Fractal Nature of Bitcoin: Evidence from Wavelet Power Spectra
• The test of the adaptive market hypothesis in the Bitcoin market
• Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Investor attention and cryptocurrency market liquidity: a double-edged sword

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