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Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: an asymmetric multifractal detrended fluctuation analysis
This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended ...
Intraday efficiency-frequency nexus in the cryptocurrency markets
This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies ...