Some Stylized Facts of the Bitcoin Market

Physica A: Statistical Mechanics and Its Applications, Volume 484, Pages 82-90, Forthcoming

17 Pages Posted: 15 Aug 2017

See all articles by Aurelio F. Bariviera

Aurelio F. Bariviera

Rovira i Virgili University - Department of Business

María José Basgall

Universidad Nacional de La Plata; CONICET

Waldo Hasperué

Universidad Nacional de La Plata - Instituto de Investigación en Informática (III-LIDI)

Marcelo Naiouf

Universidad Nacional de La Plata

Date Written: July 18, 2017

Abstract

In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This study compares Bitcoin and standard currencies dynamics and focuses on the analysis of returns at different time scales. We test the presence of long memory in return time series from 2011 to 2017, using transaction data from one Bitcoin platform. We compute the Hurst exponent by means of the Detrended Fluctuation Analysis method, using a sliding window in order to measure long range dependence. We detect that Hurst exponents changes significantly during the first years of existence of Bitcoin, tending to stabilize in recent times. Additionally, multiscale analysis shows a similar behavior of the Hurst exponent, implying a self-similar process.

Keywords: Bitcoin, Hurst, DFA, Bitcoin, Long Memory

JEL Classification: G14, C55, C58

Suggested Citation

Bariviera, Aurelio F. and Basgall, María José and Hasperué, Waldo and Naiouf, Marcelo, Some Stylized Facts of the Bitcoin Market (July 18, 2017). Physica A: Statistical Mechanics and Its Applications, Volume 484, Pages 82-90, Forthcoming , Available at SSRN: https://ssrn.com/abstract=3017968

Aurelio F. Bariviera (Contact Author)

Rovira i Virgili University - Department of Business ( email )

Av. Universitat, 1
Reus, Tarragona 43204
Spain
+34 977759833 (Phone)
+34 977759810 (Fax)

HOME PAGE: http://www.aureliofernandez.net

María José Basgall

Universidad Nacional de La Plata ( email )

7 Nº 776
Buenos Aires, BA 1900
Argentina

CONICET ( email )

Buenos Aires, C1425FQB
Argentina

Waldo Hasperué

Universidad Nacional de La Plata - Instituto de Investigación en Informática (III-LIDI) ( email )

7 Nº 776
Buenos Aires, BA 1900
Argentina

Marcelo Naiouf

Universidad Nacional de La Plata ( email )

7 Nº 776
Buenos Aires, BA 1900
Argentina

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