Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets: An asymmetric multifractal detrended fluctuation analysis
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DOI: 10.1016/j.frl.2019.03.029
Abstract: Abstract This study examines high-frequency asymmetric multifractality, long memory, and weak-form efficiency for two major cryptocurrencies, namely, Bitcoin (BTC) and Ethereum (ETH), using the asymmetric multifractal detrended fluctuation analysis method to consider different market patterns.… read more here.
Keywords: asymmetric multifractal; multifractality long; multifractal detrended; multifractality ... See more keywords