Abstract

Nowadays Bitcoin as cryptocurrency takes a significant place on the global financial markets. This paper analyzes the Bitcoin closing prices and traded volume during the period from December 28, 2013 to January 22, 2019. This period is known as a period with rapid increasing of the Bitcoin closing prices, mainly in the second half of the year 2017. The aim of this paper is twofold. First, we compute the Hurst coefficient to discover the close price dynamics and traded volume using a fractal point of view. We have discovered an anti-persistent behavior in the traded volume and random character of bitcoin closing prices. Second, we propose an analysis of the relationship between the close prices and traded volume. Our findings show how changes in the high-price period differ from changes in the low-price period. We also found that high prices caused investors to be afraid to trade due to possible rapid decrease in bitcoin closing prices.

Highlights

  • Bitcoin is a very popular virtual currency that is managed by an open-source software algorithm that uses the global internet network to create Bitcoin and to record and verify its transactions

  • We start by examining the R/S analysis results of the daily closing prices of Bitcoin expressed in USD and daily trading volume

  • The absolute value of the t-statistics is always less than 1.96. This suggests that the Bitcoin closing prices had a random behavior

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Summary

Introduction

Bitcoin is a very popular virtual currency (cryptocurrency) that is managed by an open-source software algorithm that uses the global internet network to create Bitcoin and to record and verify its transactions. The popularity of Bitcoin can be attributed to its novel features, transparency, simplicity and low cost of foreign exchange, speed of conversion, anonymity, absence of third parties, and decentralization. Simple manipulation and management of cryptocurrency are other positive features of the modern phenomenon. Principles of cryptography are used to control the creation and exchange of Bitcoin. Users of Bitcoin can store it in local wallets on a PC or on a smartphone using open-source software or in an online wallet. Nowadays Bitcoin can be used to buy goods or services worldwide. We can note that the number of companies that accept Bitcoin as payment is growing. Bitcoin is very popular between academics that would like to predict Bitcoin behavior and that analyze it in the statistical or behavioral sense

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