Volume 129, Number 2, January 2020
|Number of page(s)||5|
|Section||Interdisciplinary Physics and Related Areas of Science and Technology|
|Published online||11 February 2020|
Power-law return-volatility cross-correlations of Bitcoin
Hiroshima University of Economics - Hiroshima 731-0192, Japan
Received: 22 August 2019
Accepted: 28 January 2020
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross-correlations between return and volatility (squared return) are mostly insignificant on a daily level. In the high-frequency region, we find that a power-law appears in negative cross-correlation between returns and future volatilities, which suggests that the cross-correlation is long-ranged. We also calculate a cross-correlation between returns and the power of absolute returns, and we find that the strength of the cross-correlations depends on the value of the power.
PACS: 89.65.Gh – Economics; econophysics, financial markets, business and management / 05.45.Tp – Time series analysis
© EPLA, 2020
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