基于MF-ADCCA方法的比特币量价关系多重分形特征研究  

Research on multifractal characteristics of Bitcoin price-volume relationship based on MF-ADCCA method

作　　者：谢文浩 曹广喜 XIE Wenhao;CAO Guangxi(School of Management Science and Engineering,Nanjing University of Information Science&Technology,Nanjing 210044,China)

机构地区：[1]南京信息工程大学管理工程学院,江苏南京210044

出　　处：《管理工程学报》2022年第5期1-10,共10页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71371100);江苏省高校哲学社会科学研究重大项目(2017ZDAXM005)。

摘　　要：本文使用MF-ADCCA方法实证分析了比特币量价关系的非对称多重分形特征,结果表明:比特币流动性越大,波动越大,收益率和交易量交叉相关性的多重分形程度越强,且这种多重分形特征来源于反持续性和厚尾分布,厚尾分布对多重分形特征的贡献更大。量价关系在不同涨跌趋势时的非对称性程度具有阶段性特征,当比特币价格较低且相对平稳时,无论是收益率上涨还是交易量变化率上涨,量价交叉相关性在小幅波动时持续性更强,大幅波动的反持续性更强;而在价格暴涨暴跌剧烈波动并且交易量变化率下跌时,量价交叉相关性持续性更强。通过滑动窗技术研究比特币量价关系局部多重分形特征,发现量价交叉相关性的局部时变Hurst指数小于0.5;随着时间的推移,量价交叉相关性的局部时变多重分形程度加强。At present,as an emerging virtual financial asset,cryptocurrencies have attracted increasing attention from scholars,public investors,and financial risk managers.Since the birth of Bitcoin(BTC),the first cryptocurrency in 2009,the cryptocurrency market has developed rapidly with continuous innovation and expansion in scale.As of November 21,2020,the type of global cryptocurrencies reached 7,731 in the world,with 385 exchanges and 33289 trading markets and a total market cap of 3.473 trillion yuan.Among these cryptocurrencies,the market cap of BTC ranks first,accounting for 65.2%of the total market cap of cryptocurrencies,and the daily turnover exceeds 10 billion US dollars.Therefore,taking BTC as the representative of cryptocurrency assets,this paper explores the multifractal characteristics of cross-correlation between BTC′s volume and price.Research on the relationship between the volume and price of financial assets is not only helpful to deepen the understanding of financial market structure and understand how information flows into the market but can also reflect the relationship between supply and demand in the financial market to judge and predict the trend of the whole financial market.As an emerging financial asset,cryptocurrencies show characteristics that are different from those of traditional assets.For example,cryptocurrencies generally have higher returns but they fluctuate sharply.Studying the price fluctuation of cryptocurrencies and the relationship between volume and price can avoid investment risk and obtain more information about the financial market.This paper selects the daily closing price and trading volume of BTC from December 27,2013 to December 31,2019 as the research object,with a total of 2196 pairs of data.First,the logarithmic returns and the change rate of trading volume of BTC are calculated.Second,according to the price and trading volume,the whole sample is divided into two sub-samples to further study the impact of liquidity and volatility on the cross-correlation between vo

关 键 词：比特币 多重分形 非对称性 量价关系 

分 类 号：F830[经济管理—金融学]