Some stylized facts of the Bitcoin market

Autores
Fernández, Aurelio; Basgall, María José; Hasperué, Waldo; Naiouf, Ricardo Marcelo
Año de publicación
2017
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.
Fil: Fernández, Aurelio. Universitat Rovira I Virgili; España. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Basgall, María José. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Hasperué, Waldo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Naiouf, Ricardo Marcelo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina
Materia
BITCOIN
BITCOIN
DFA
HURST
LONG MEMORY
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/49747
Acceder
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network_name_str CONICET Digital (CONICET)
spelling Some stylized facts of the Bitcoin marketFernández, AurelioBasgall, María JoséHasperué, WaldoNaiouf, Ricardo MarceloBITCOINBITCOINDFAHURSTLONG MEMORYhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5https://purl.org/becyt/ford/1.2https://purl.org/becyt/ford/1In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.Fil: Fernández, Aurelio. Universitat Rovira I Virgili; España. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Basgall, María José. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Hasperué, Waldo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Naiouf, Ricardo Marcelo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; ArgentinaElsevier Science2017-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/49747Fernández, Aurelio; Basgall, María José; Hasperué, Waldo; Naiouf, Ricardo Marcelo; Some stylized facts of the Bitcoin market; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 484; 10-2017; 82-900378-4371CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2017.04.159info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437117304697info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:54:38Zoai:ri.conicet.gov.ar:11336/49747instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:54:38.686CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Some stylized facts of the Bitcoin market
title Some stylized facts of the Bitcoin market
spellingShingle Some stylized facts of the Bitcoin market
Fernández, Aurelio
BITCOIN
BITCOIN
DFA
HURST
LONG MEMORY
title_short Some stylized facts of the Bitcoin market
title_full Some stylized facts of the Bitcoin market
title_fullStr Some stylized facts of the Bitcoin market
title_full_unstemmed Some stylized facts of the Bitcoin market
title_sort Some stylized facts of the Bitcoin market
dc.creator.none.fl_str_mv Fernández, Aurelio
Basgall, María José
Hasperué, Waldo
Naiouf, Ricardo Marcelo
author Fernández, Aurelio
author_facet Fernández, Aurelio
Basgall, María José
Hasperué, Waldo
Naiouf, Ricardo Marcelo
author_role author
author2 Basgall, María José
Hasperué, Waldo
Naiouf, Ricardo Marcelo
author2_role author
author
author
dc.subject.none.fl_str_mv BITCOIN
BITCOIN
DFA
HURST
LONG MEMORY
topic BITCOIN
BITCOIN
DFA
HURST
LONG MEMORY
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
https://purl.org/becyt/ford/1.2
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.
Fil: Fernández, Aurelio. Universitat Rovira I Virgili; España. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Basgall, María José. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Hasperué, Waldo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Naiouf, Ricardo Marcelo. Universidad Nacional de la Plata. Facultad de Informatica. Instituto de Investigación En Informatica Lidi; Argentina
description In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.
publishDate 2017
dc.date.none.fl_str_mv 2017-10
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/49747
Fernández, Aurelio; Basgall, María José; Hasperué, Waldo; Naiouf, Ricardo Marcelo; Some stylized facts of the Bitcoin market; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 484; 10-2017; 82-90
0378-4371
CONICET Digital
CONICET
url http://hdl.handle.net/11336/49747
identifier_str_mv Fernández, Aurelio; Basgall, María José; Hasperué, Waldo; Naiouf, Ricardo Marcelo; Some stylized facts of the Bitcoin market; Elsevier Science; Physica A: Statistical Mechanics and its Applications; 484; 10-2017; 82-90
0378-4371
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2017.04.159
info:eu-repo/semantics/altIdentifier/url/https://www.sciencedirect.com/science/article/pii/S0378437117304697
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.13397

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