英文标题：
《Statistical properties and multifractality of Bitcoin》
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作者：
Tetsuya Takaishi
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最新提交年份：
2018
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英文摘要：
  Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis largely deviates from the Gaussian expectation. Although for large sampling periods, kurtosis is anticipated to approach the Gaussian expectation, we find that convergence to that is very slow. Skewness is found to be negative at time scales shorter than one day and becomes consistent with zero at time scales longer than about one week. We also investigate daily volatility-asymmetry by using GARCH, GJR, and RGARCH models, and find no evidence of it. On exploring multifractality using multifractal detrended fluctuation analysis, we find that the Bitcoin time series exhibits multifractality. The sources of multifractality are investigated, confirming that both temporal correlation and the fat-tailed distribution contribute to it. The influence of \"Brexit\" on June 23, 2016 to GBP--USD exchange rate and Bitcoin is examined in multifractal properties. We find that, while Brexit influenced the GBP--USD exchange rate, Bitcoin was robust to Brexit.
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中文摘要：
利用比特币价格的1分钟收益率，我们研究了比特币时间序列的统计特性和多重分形。我们发现，1分钟的收益分布是厚尾分布，峰度很大程度上偏离了高斯期望。虽然对于大采样周期，峰度预计将接近高斯期望，但我们发现收敛速度非常慢。偏度在短于一天的时间尺度上为负，在长于一周的时间尺度上与零一致。我们还使用GARCH、GJR和RGARCH模型研究了日波动率不对称性，但没有发现任何证据。通过多重分形去趋势波动分析探索多重分形，我们发现比特币时间序列表现出多重分形。研究了多重分形的来源，证实了时间相关性和厚尾分布都有助于多重分形。2016年6月23日“脱欧”对英镑兑美元汇率和比特币的影响在多重分形性质中进行了检验。我们发现，虽然英国脱欧影响了英镑兑美元的汇率，但比特币对英国脱欧的影响是强劲的。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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