Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study
Statistical Finance
2020-09-16 v1 Data Analysis, Statistics and Probability
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.
Cite
@article{arxiv.1902.09253,
title = {Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study},
author = {Tetsuya Takaishi and Takanori Adachi},
journal= {arXiv preprint arXiv:1902.09253},
year = {2020}
}
Comments
10 pages, 6 figures