Signatures of the Crypto-Currency Market Decoupling from the Forex

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ID: 42516
2019
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Abstract
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 1 July 2016 and 31 December 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 could be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.
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drozdz2019signaturesfuture Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Drożdż, Stanisław;Minati, Ludovico;Oświȩcimka, Paweł;Stanuszek, Marek;Wa̧torek, Marcin;
Journal future internet
Year 2019
DOI
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URL
https://www.mdpi.com/1999-5903/11/7/154
Keywords Keywords not found

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