1. DSpace KNU
  2. 5. Наукові публікації
  3. Факультет інформаційних технологій
  4. Кафедра професійної та соціально-гуманітарної освіти
Будь ласка, використовуйте цей ідентифікатор, щоб цитувати або посилатися на цей матеріал: http://ds.knu.edu.ua/jspui/handle/123456789/5097
Назва: The Analysis of Multifractal Cross-Correlation Connectedness Between Bitcoin and the Stock Market
Автори: Bielinskyi, Andrii
Soloviev, Vladimir
Solovieva, Victoria
Matviychuk, Andriy
Semerikov, Serhiy
Ключові слова: Stock market
crypto market
cross-correlations
multifractal analysis
crash
complex systems
indicator-precursor
Дата публікації: 18-чер-2023
Видавництво: Springer, Cham
Бібліографічний опис: Bielinskyi A. The Analysis of Multifractal Cross-Correlation Connectedness Between Bitcoin and the Stock Market / Andrii Bielinskyi, Vladimir Soloviev, Victoria Solovieva, Andriy Matviychuk, Serhiy Semerikov // Information Technology for Education, Science and Technics: Proceedings of ITEST 2022 / Editors : Emil Faure, Olena Danchenko, Maksym Bondarenko, Yurii Tryus, Constantine Bazilo, Grygoriy Zaspa // Lecture Notes on Data Engineering and Communications Technologies. – Cham : Springer, 2023. – Vol. 178. – P. 323–345. – DOI : https://doi.org/10.1007/978-3-031-35467-0_21
Короткий огляд (реферат): In this study, we examine the multifractal cross-correlation relationships between stock and cryptocurrency markets. The measures of complexity which can serve as indicators (indicators-precursors) in both markets are retrieved from Multifractal Detrended Cross-Correlation Analysis. On the example of the S&P 500 and HSI stock indices that are used most by investors to gauge the status of the economy in the world, and the cryptocurrency Bitcoin, which mostly determines the existence of the crypto market, we assess the variation of multifractality and correlations in both markets. Using the sliding window approach, we localize their dynamics across time and indicate a high degree of non-linearity with dominant anti-persistency during crash periods for each index. The existence of periods with high and low cross-correlations for stock and crypto markets provides prospects for reliable trading with several pairs of assets and effective diversification of their risks.
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URI (Уніфікований ідентифікатор ресурсу): https://doi.org/10.1007/978-3-031-35467-0_21
http://ds.knu.edu.ua/jspui/handle/123456789/5097
ISBN: 978-3-031-35466-3
978-3-031-35467-0
Розташовується у зібраннях:Кафедра професійної та соціально-гуманітарної освіти

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