One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles
نویسندگان
چکیده
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree long range dependence, and --more importantly -- follow stochastic processes. Some them models closer to monofractal fractional Gaussian noises, while others exhibit complex dynamics. Regarding source multifractality, our results are mixed. Time series shuffling produces a reduction level but not enough offset it. association kurtosis with multifractality.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2020.101649