Some stylized facts of the cryptocurrency market

By Wei Zhang, Pengfei Wang, Xiao Li, Dehua Shen. Applied Economics, 2018

164 citations recorded by the source corpus.

ABSTRACT We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/36b0aa4a5c7cb9372337cf23ac02f3725806a279

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

High frequency volatility co-movements in cryptocurrency markets (2019, methodology): “Similar to Urquhart and Zhang (2018), we then use three information criteria, namely Akaike (AIC), Bayesian (BIC) and Hannan-Quinn (HQ) as performance criteria as well as the statistical significance of the estimated asymmetry parameters in order to see which model between the two is the preferred…”
Testing Stylized Facts of Bitcoin Limit Order Books (2019, methodology): “In a recent contribution, Zhang et al. (2018) use the m4 kurtosis metric and the Hill estimator to analyze the tails of eight cryptocurrencies, among them Bitcoin.”