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  2. 5. Наукові публікації
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  4. Кафедра професійної та соціально-гуманітарної освіти
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dc.contributor.authorBielinskyi, Andrii-
dc.contributor.authorSoloviev, Vladimir-
dc.contributor.authorSolovieva, Victoria-
dc.contributor.authorMatviychuk, Andriy-
dc.contributor.authorSemerikov, Serhiy-
dc.date.accessioned2023-07-01T12:38:27Z-
dc.date.available2023-07-01T12:38:27Z-
dc.date.issued2023-06-18-
dc.identifier.citationBielinskyi 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_21uk_UA
dc.identifier.isbn978-3-031-35466-3-
dc.identifier.isbn978-3-031-35467-0-
dc.identifier.urihttps://doi.org/10.1007/978-3-031-35467-0_21-
dc.identifier.urihttp://ds.knu.edu.ua/jspui/handle/123456789/5097-
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dc.description.abstractIn 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.uk_UA
dc.language.isoenuk_UA
dc.publisherSpringer, Chamuk_UA
dc.subjectStock marketuk_UA
dc.subjectcrypto marketuk_UA
dc.subjectcross-correlationsuk_UA
dc.subjectmultifractal analysisuk_UA
dc.subjectcrashuk_UA
dc.subjectcomplex systemsuk_UA
dc.subjectindicator-precursoruk_UA
dc.titleThe Analysis of Multifractal Cross-Correlation Connectedness Between Bitcoin and the Stock Marketuk_UA
dc.typeArticleuk_UA
dc.identifier.doi10.1007/978-3-031-35467-0_21-
local.submitter.emailsemerikov@ccjourn...uk_UA
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