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Big data analytics using multi-fractal wavelet leaders in high-frequency Bitcoin markets

Chaos, Solitons & Fractals, ISSN: 0960-0779, Vol: 131, Page: 109472
2020
  • 29
    Citations
  • 0
    Usage
  • 42
    Captures
  • 0
    Mentions
  • 90
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    29
    • Citation Indexes
      29
  • Captures
    42
  • Social Media
    90
    • Shares, Likes & Comments
      90
      • Facebook
        90

Article Description

We employ a time-scale multi-fractal decomposition approach to investigate the properties of Bitcoin prices and volume at different sampling rates using high-frequency data. We provide evidence of multi-fractality at all rates. The big data-driven analysis combined with statistical testing shows evidence of dominant multi-fractal traits within the intervals of 5 mn–90 mn, and 120 mn up to 720 mn. Wavelet leaders comprise a promising algorithmic technique that provides a richer description of the singularity spectrum. In particular, we reveal the distinct heterogeneity of the three log-cumulants for prices and volume between the two distinctive high-frequency sampling intervals. Our findings may assist in devising profitable high-frequency trading strategies in crypto-currency markets.

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