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Some stylized facts of the cryptocurrency market

Author

Listed:
  • Wei Zhang
  • Pengfei Wang
  • Xiao Li
  • Dehua Shen
Abstract
We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.

Suggested Citation

  • Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen, 2018. "Some stylized facts of the cryptocurrency market," Applied Economics, Taylor & Francis Journals, vol. 50(55), pages 5950-5965, November.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:55:p:5950-5965
    DOI: 10.1080/00036846.2018.1488076
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