Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: an asymmetric multifractal detrended fluctuation analysis

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buir.contributor.authorŞensoy, Ahmet
dc.citation.epage25en_US
dc.citation.spage19en_US
dc.citation.volumeNumber31en_US
dc.contributor.authorMensi, W.en_US
dc.contributor.authorLee, Y. -J.en_US
dc.contributor.authorAl-Yahyaee, K.en_US
dc.contributor.authorŞensoy, Ahmeten_US
dc.contributor.authorYoon, S. -M.en_US
dc.date.accessioned2020-01-31T18:53:27Z
dc.date.available2020-01-31T18:53:27Z
dc.date.issued2019
dc.departmentDepartment of Managementen_US
dc.description.abstractThis 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 fluctuation analysis method to consider different market patterns. Our results show evidence of structural breaks and asymmetric multifractality. Moreover, the multifractality gap between the uptrend and downtrend is small when the time scale is small, and it increases as the time scale increases. The BTC market is more inefficient than ETH. The inefficiency is more (less) accentuated when the market follows a downward (upward) movement. The efficiency level varies based on each subperiod.en_US
dc.description.provenanceSubmitted by Onur Emek (onur.emek@bilkent.edu.tr) on 2020-01-31T18:53:27Z No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5)en
dc.description.provenanceMade available in DSpace on 2020-01-31T18:53:27Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 268963 bytes, checksum: ad2e3a30c8172b573b9662390ed2d3cf (MD5) Previous issue date: 2019en
dc.embargo.release2021-12-01
dc.identifier.doi10.1016/j.frl.2019.03.029en_US
dc.identifier.issn1544-6123
dc.identifier.urihttp://hdl.handle.net/11693/52971
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttps://dx.doi.org/10.1016/j.frl.2019.03.029en_US
dc.source.titleFinance Research Lettersen_US
dc.subjectHigh-frequency tradingen_US
dc.subjectBitcoinen_US
dc.subjectEthereumen_US
dc.subjectEfficient market hypothesisen_US
dc.subjectAsymmetric MF-DFA methoden_US
dc.subjectGeneralized Hurst exponenten_US
dc.titleIntraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: an asymmetric multifractal detrended fluctuation analysisen_US
dc.typeArticleen_US

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