Long-range dependence, multi-fractality and volume-return causality of Ether market.

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ID: 101827
2020
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Abstract
In spite of the increasing popularity of Ethereum, market analysis of the corresponding cryptocurrencies Ether is relatively unexplored until now. This paper is devoted to filling in the research gap of Ether market analysis, the purpose being to provide useful insights on Ether investment. In particular, we first employ the detrended fluctuation analysis and the asymmetric multifractal detrended fluctuation analysis to investigate the properties of long-range dependence, multifractality, and its asymmetry. After that, we study the causality between returns and volume of Ether to find how the activity of investors influences returns based on a nonparametric causality-in-quantiles test. Besides, by making a comparison with the Bitcoin market, we further uncover some unique properties of the Ether market.
Reference Key
han2020longrangechaos Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Han, Qing;Wu, Jiajing;Zheng, Zibin;
Journal chaos (woodbury, ny)
Year 2020
DOI
10.1063/1.5135739
URL
Keywords
blockchain food supply chain

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