The Analysis of Multifractal Cross-Correlation Connectedness Between Bitcoin and the Stock Market

- Bielinskyi, Andrii (orcid.org/0000-0002-2821-2895), Soloviev, V.N. (orcid.org/0000-0002-4945-202X), Solovieva, Victoria (orcid.org/0000-0002-8090-9569), Matviychuk, Andriy (orcid.org/0000-0002-8911-5677) and Semerikov, Serhiy O. (orcid.org/0000-0003-0789-0272) (2023) The Analysis of Multifractal Cross-Correlation Connectedness Between Bitcoin and the Stock Market Information Technology for Education, Science and Technics: Proceedings of ITEST 2022. pp. 323-345. ISSN 978-3-031-35466-3

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Abstract

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.

Item Type:	Article
Additional Information:	URL: https://link.springer.com/chapter/10.1007/978-3-031-35467-0_21
Keywords:	Stock market, crypto market, cross-correlations, multifractal analysis, crash, complex systems, indicator-precursor
Subjects:	Science and knowledge. Organization. Computer science. Information. Documentation. Librarianship. Institutions. Publications > 3 Social Sciences > 33 Economics. Economic science
Divisions:	Institute for Digitalisation of Education > Department of Cloud-Oriented Systems and Artificial Intelligence in Education
Depositing User:	Сергій Олексійович Семеріков
Date Deposited:	03 Jul 2023 13:16
Last Modified:	18 Sep 2023 08:33
URI:	https://lib.iitta.gov.ua/id/eprint/736014

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