英文标题：
《Scaling properties of extreme price fluctuations in Bitcoin markets》
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作者：
Stjepan Begu\\v{s}i\\\'c, Zvonko Kostanj\\v{c}ar, H. Eugene Stanley, and
  Boris Podobnik
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最新提交年份：
2018
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英文摘要：
  Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting findings, such as the inverse cubic law in the tails of stock price fluctuation distributions. Motivated by the rise of novel digital assets based on blockchain technology, we study the distributions of cryptocurrency price fluctuations. We consider Bitcoin returns over various time intervals and from multiple digital exchanges, in order to investigate the existence of universal scaling behavior in the tails, and ascertain whether the scaling exponent supports the presence of a finite second moment. We provide empirical evidence on slowly decaying tails in the distributions of returns over multiple time intervals and different exchanges, corresponding to a power-law. We estimate the scaling exponent and find an asymptotic power-law behavior with 2 < {\\alpha} < 2.5 suggesting that Bitcoin returns, in addition to being more volatile, also exhibit heavier tails than stocks, which are known to be around 3. Our results also imply the existence of a finite second moment, thus providing a fundamental basis for the usage of standard financial theories and covariance-based techniques in risk management and portfolio optimization scenarios.
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中文摘要：
幂律行为的检测和标度指数的研究揭示了许多现实世界现象的复杂性特征。金融市场的复杂性一直是一个具有挑战性的问题，并提供了有趣的发现，例如股票价格波动分布尾部的逆三次定律。基于区块链技术的新型数字资产的兴起，我们研究了加密货币价格波动的分布。我们考虑比特币在不同时间间隔和多个数字交换中的收益，以研究尾部是否存在普遍的缩放行为，并确定缩放指数是否支持有限秒矩的存在。我们提供了经验证据，证明收益率在多个时间间隔和不同交易所的分布呈缓慢衰减的尾部，对应于幂律。我们估计了标度指数，并发现2<{\\alpha}<2.5的渐近幂律行为，这表明比特币收益率除了更具波动性外，还表现出比股票更重的尾部，已知尾部约为3。我们的结果还暗示了有限二阶矩的存在，从而为在风险管理和投资组合优化场景中使用标准金融理论和基于协方差的技术提供了基本依据。
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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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