One Model Is Not Enough: Heterogeneity in Cryptocurrencies’ Multi-fractal Profiles

18 Pages Posted: 8 Jul 2020

See all articles by Aurelio F. Bariviera

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

Date Written: June 13, 2020

Abstract

This letter studies of the multi-fractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and — more importantly — follow different stochastic processes. Some of them follow models closer to mono-fractal fractional Gaussian noises, while others exhibit complex multi-fractal dynamics. Regarding the source of multi-fractality, our results are mixed. Time series shuffling produces a reduction in the level of multi-fractality, but not enough to offset it. We find an association of kurtosis with multi-fractality.

Keywords: Cryptocurrencies, Generalized Hurst Exponent, Multi-fractality, Efficient Market Hypothesis

JEL Classification: C4, G01, G14

Suggested Citation

Bariviera, Aurelio F., One Model Is Not Enough: Heterogeneity in Cryptocurrencies’ Multi-fractal Profiles (June 13, 2020). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3626132 or http://dx.doi.org/10.2139/ssrn.3626132

Aurelio F. Bariviera (Contact Author)

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

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