Please use this identifier to cite or link to this item: https://hdl.handle.net/10316/100125
DC FieldValueLanguage
dc.contributor.authorVaz, Cristiana-
dc.contributor.authorPascoal, Rui-
dc.contributor.authorSebastião, Helder-
dc.date.accessioned2022-05-11T05:20:21Z-
dc.date.available2022-05-11T05:20:21Z-
dc.date.issued2021-08-29-
dc.identifier.urihttps://hdl.handle.net/10316/100125-
dc.description.abstractSince its launch in 2009, bitcoin has thrived, attracting the attention of investors, regulators, academia, and the public in general. Its price dynamics, characterized by extreme volatility, severe jumps, and impressive long-term appreciation, suggest that bitcoin is a new digital asset. This study presents a comprehensive overview of the fractality of bitcoin in a high-frequency framework, namely by applying Multifractal Detrended Fluctuation Analysis (MF-DFA) and a Multifractal Regime Detecting Method (MRDM) to Bitstamp 1 min bitcoin returns from January 2013 to July 2020. The results suggest that bitcoin is multifractal, with smaller and larger fluctuations being persistent and anti-persistent, respectively. Multifractality comes from significant long-range correlations, which cast some doubts on the informational efficiency at this frequency, but mainly comes from fat-tails, which highlights the significant risks undertaken by investors in this market. Our most important result is that the degree and richness of multifractality is time-varying and increased after 2017, when volumes and prices experienced an explosive behaviour. This complexity puts into perspective the duality of bitcoin: while it is characterized by long-run attractiveness and increasing valuation, it also has a high short-run instability. Hence, this study provides some empirical evidence supporting the relationship between these two observable feature.pt
dc.language.isoengpt
dc.publisherMDPIpt
dc.relationFCT—Fundação para a Ciência e a Tecnologia, I.P., Project UIDB/05037/202pt
dc.rightsopenAccesspt
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/pt
dc.subjectbitcoinpt
dc.subjectmultifractalitypt
dc.subjectMF-DFApt
dc.subjectmarket efficiencypt
dc.subjecthigh-frequencypt
dc.subjectstatistical inferencept
dc.titlePrice Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysispt
dc.typearticle-
degois.publication.issue17pt
degois.publication.titleMathematicspt
dc.peerreviewedyespt
dc.identifier.doi10.3390/math9172088pt
degois.publication.volume9pt
dc.date.embargo2021-08-29*
uc.date.periodoEmbargo0pt
item.openairetypearticle-
item.languageiso639-1en-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.grantfulltextopen-
item.fulltextCom Texto completo-
crisitem.author.researchunitGroup for Monetary and Financial Studies-
crisitem.author.researchunitCeBER – Centre for Business and Economics Research-
crisitem.author.orcid0000-0002-1743-6869-
Appears in Collections:FEUC- Artigos em Revistas Internacionais
Files in This Item:
File Description SizeFormat
mathematics-09-02088-v2.pdf1.02 MBAdobe PDFView/Open
Show simple item record

SCOPUSTM   
Citations

1
checked on Nov 9, 2022

WEB OF SCIENCETM
Citations

2
checked on Mar 2, 2024

Page view(s)

111
checked on Mar 26, 2024

Download(s)

37
checked on Mar 26, 2024

Google ScholarTM

Check

Altmetric

Altmetric


This item is licensed under a Creative Commons License Creative Commons