文章基本信息

标题：Signatures of the Crypto-Currency Market Decoupling from the Forex
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作者：Stanisław Drożdż ; Ludovico Minati ; Paweł Oświȩcimka 等
期刊名称：Future Internet
电子版ISSN：1999-5903
出版年度：2019
卷号：11
期号：7
页码：1-18
DOI：10.3390/fi11070154
出版社：MDPI Publishing
摘要：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.
关键词：blockchain; bitcoin; ethereum; crypto-currency market; detrended cross-correlation; hurst exponent; multifractality blockchain ; bitcoin ; ethereum ; crypto-currency market ; detrended cross-correlation ; hurst exponent ; multifractality