英文标题：
《Signatures of crypto-currency market decoupling from the Forex》
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作者：
Stanis{\\l}aw Dro\\.zd\\.z, Ludovico Minati, Pawe{\\l} O\\\'swi\\k{e}cimka,
  Marek Stanuszek, Marcin W\\k{a}torek
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最新提交年份：
2019
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英文摘要：
  Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between July 1, 2016 and December 31, 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchange rate, whose Hurst exponent by the end of 2018 started approaching the value of 0.5, which is characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This may be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.
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中文摘要：
基于Kraken的高频记录，2016年7月1日至2018年12月31日期间，研究了比特币（BTC）、以太坊（ETH）、欧元（EUR）和美元（USD）的多尺度交叉相关性。Kraken是一家加密货币交易所和专业交易平台，旨在将比特币和其他加密货币纳入主流。研究表明，与加密货币市场相关的汇率波动的多尺度特征接近外汇市场。这尤其适用于BTC/ETH汇率，其赫斯特指数在2018年底开始接近0.5，这是成熟世界市场的特征。此外，BTC/ETH直接汇率已经发展出多重分形，这通过广泛的奇异谱表现出来。一个特别重要的结果是，用于检测BTC/ETH和欧元/美元汇率动态之间相互关系的措施没有显示出任何明显的关系。这可能表明加密货币市场已经开始与外汇脱钩。
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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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一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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