Analysis of inter-transaction time fluctuations in the cryptocurrency market
| Autor: | Jarosław Kwapień, Marcin Wątorek, Marija Bezbradica, Martin Crane, Tai Tan Mai, Stanisław Drożdż |
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| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
FOS: Economics and business
Complex Systems Cryptocurrencies Inter-Transaction Times Statistical Finance (q-fin.ST) Applied Mathematics General Physics and Astronomy Quantitative Finance - Statistical Finance Statistical and Nonlinear Physics Statistical physics Mathematical Physics Finance Mathematics |
| Zdroj: | Kwapień, Jaroslaw ORCID: 0000-0001-8813-9637 |
| Popis: | We analyze tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded volume, and volatility. We show that the inter-transaction times show long-range power-law autocorrelations. These lead to multifractality expressed by the right-side asymmetry of the singularity spectra [Formula: see text] indicating that the periods of increased market activity are characterized by richer multifractality compared to the periods of quiet market. We also show that neither the stretched exponential distribution nor the power-law-tail distribution is able to model universally the cumulative distribution functions of the quantities considered in this work. For each quantity, some data sets can be modeled by the former and some data sets by the latter, while both fail in other cases. An interesting, yet difficult to account for, observation is that parallel data sets from different trading platforms can show disparate statistical properties. |
| Databáze: | OpenAIRE |
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