The leverage effect and other stylized facts displayed by Bitcoin returns
In this paper, we explore some stylized facts of the Bitcoin market using the BTC-USD exchange rate time series of historical intraday data from 2013 to 2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of macroeconomic fundamentals or connections with underlying assets or benchmarks, an asymmetry between demand and supply and the presence of inefficiency in the form of strong arbitrage opportunity. Nevertheless, all these elements seem to be marginal in the definition of the structural statistical properties of this virtual financial asset, which result to be analogous to general individual stocks or indices. In contrast, we find some clear differences, compared to fiat money exchange rates time series, in the values of the linear autocorrelation and, more surprisingly, in the presence of the leverage effect. We also explore the dynamics of correlations, monitoring the shifts in the evolution of the Bitcoin market. This analysis is able to distinguish between two different regimes: a stochastic process with weaker memory signatures and closer to Gaussianity between the Mt. Gox incident and the late 2015, and a dynamics with relevant correlations and strong deviations from Gaussianity before and after this interval.
Code (0)
등록된 구현이 없습니다.
Tasks
Time SeriesTime Series AnalysisSimilar Papers 제목 키워드 기반
Stylized facts of the Indian Stock Market
Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that…
Stylized Facts and Agent-Based Modeling
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used…
Emergence of stylized facts during the opening of stock markets
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show variou…
Self-Contained Stylization via Steganography for Reverse and Serial Style Transfer
Style transfer has been widely applied to give real-world images a new artistic look. However, given a stylized image, the attempts to use typical style transfer methods for de-stylization or transferring it again into a…
Reverse Style TransferSerial Style TransferStyle TransferRevisiting Cont's Stylized Facts for Modern Stock Markets
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties common to a large set of assets and mar…
Time Series