Power-Law Return-Volatility Cross Correlations of Bitcoin
Statistical Finance
2021-02-17 v1
Abstract
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find thata power-law appears in negative cross correlation between returns and future volatilities, which suggests that the cross correlation is \revision{long ranged}. We also calculate a cross correlation between returns and the power of absolute returns, and we find that the strength of \revision{the cross correlations} depends on the value of the power.
Keywords
Cite
@article{arxiv.2102.08187,
title = {Power-Law Return-Volatility Cross Correlations of Bitcoin},
author = {T. Takaishi},
journal= {arXiv preprint arXiv:2102.08187},
year = {2021}
}
Comments
10 pages, 5 figures