Intraday downward/upward multifractality and long memory in Bitcoin and Ethereum markets : an asymmetric multifractal detrended fluctuation analysis
Walid Mensi, Yun-Jung Lee, Khamis Hamed Al-Yahyaee, Ahmet Sensoy, Seong-Min Yoon
| Year of publication: |
2019
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|---|---|
| Authors: | Mensi, Walid ; Lee, Yun Jung ; Al-Yahyaee, Khamis Hamed ; Sensoy, Ahmet ; Yoon, Seong-min |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 31.2019, p. 19-25
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| Subject: | Asymmetric MF-DFA method | Bitcoin | Efficient market hypothesis | Ethereum | Generalized Hurst exponent | High-frequency trading | Effizienzmarkthypothese | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Virtuelle Währung | Virtual currency | Finanzmarkt | Financial market | Elektronisches Handelssystem | Electronic trading | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.03.029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012420970