PlumX Metrics
Embed PlumX Metrics

The chaotic, self-similar and hierarchical patterns in Bitcoin and Ethereum price series

Chaos, Solitons & Fractals, ISSN: 0960-0779, Vol: 165, Page: 112806
2022
  • 11
    Citations
  • 0
    Usage
  • 12
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    11
    • Citation Indexes
      11
  • Captures
    12

Article Description

Bitcoin (BTC) and Ethereum (ETH), pioneering public blockchains implementations, are two fundamental levers to register and transfer digital value. This article studies the structure of their daily price volatility time series following a multifaceted approach: first, it examines the existence of chaoticity and fractality in the time series. Obtained results confirm that the BTC and ETH price volatility series present signs of chaoticity, persistence of a long-term correlation and multifractality. Second, it analyses the corresponding visibility graphs associated with these time series using complex network theory. The undirected and connected complex networks, spawned by their natural visibility graphs (VGs) and horizontal visibility graphs (HVGs), present a hierarchical structure. These networks, especially the HVGs, confirm the fractality of the originating time series. The study of HVGs also confirms a lack of uncorrelated randomness in the originating BTC and ETH price series. This paper validates the value of visibility graphs as useful proxies to better understand complex time series, in this case, related to public blockchain implementations.

Bibliographic Details

Provide Feedback

Have ideas for a new metric? Would you like to see something else here?Let us know