کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
8253965 | 1533616 | 2018 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
فیزیک و نجوم
فیزیک آماری و غیرخطی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen? Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?](/preview/png/8253965.png)
چکیده انگلیسی
We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA), gold price and the oil crude market. We find that multifractality exists in every cross-correlation studied, and there is asymmetry in the cross-correlation exponents under different trend of the WTI, Gold and DJIA. Bitcoin shows a greater multifractal spectra than the other currencies on its cross-correlation with the WTI, the Gold and the DJIA. Bitcoin shows a clearly different relationship with commodities and stock market indices which has to be taken into consideration when investing. This has to do with the years this currency has been traded, the characteristics of cryptocurrencies and its gradual adoption by financial organizations, governments and the general public.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Chaos, Solitons & Fractals - Volume 109, April 2018, Pages 195-205
Journal: Chaos, Solitons & Fractals - Volume 109, April 2018, Pages 195-205
نویسندگان
Gabriel Gajardo, Werner D. Kristjanpoller, Marcel Minutolo,