英文标题：
《Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic
study》
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作者：
Tetsuya Takaishi and Takanori Adachi
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最新提交年份：
2019
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英文摘要：
This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.
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中文摘要：
这封信研究了市场效率、流动性和比特币多重分形之间的动态关系。我们发现，2013年之前，流动性较低，赫斯特指数小于0.5，表明比特币时间序列是反持久的。2013年后，随着流动性增加，赫斯特指数上升至约0.5，提高了市场效率。然而，在几个时期，Hurst指数明显小于0.5，这使得时间序列在这些时期具有反持久性。我们还利用广义赫斯特指数研究了比特币时间序列的多重分形程度，发现多重分形程度与市场效率呈非线性关系。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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