Analysis of inter-transaction time fluctuations in the cryptocurrency market
arXiv:2206.07831 · doi:10.1063/5.0104707
Abstract
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded volume, and volatility. We show that the inter-transaction times show long-range power-law autocorrelations. These lead to multifractality expressed by the right-side asymmetry of the singularity spectra indicating that the periods of increased market activity are characterised by richer multifractality compared to the periods of quiet market. We also show that neither the stretched exponential distribution nor the power-law-tail distribution are able to model universally the cumulative distribution functions of the quantities considered in this work. For each quantity, some data sets can be modeled by the former, some data sets by the latter, while both fail in other cases. An interesting, yet difficult to account for, observation is that parallel data sets from different trading platforms can show disparate statistical properties.
References in corpus (46)
- Multifractal detrended fluctuation analysis of nonstationary time series
- Scaling of the distribution of fluctuations of financial market indices
- Fractional calculus and continuous-time finance
- The statistical properties of the volatility of price fluctuations
- Stretched exponential distributions in Nature and Economy: ``Fat tails'' with characteristic scales
- Scaling of the distribution of price fluctuations of individual companies
- Waiting-times and returns in high-frequency financial data: an empirical study
- Fractional calculus and continuous-time finance II: the waiting-time distribution
- Multifractal analysis of financial markets
- Wavelet versus Detrended Fluctuation Analysis of multifractal structures
- Statistical Properties of Share Volume Traded in Financial Markets
- Economic Fluctuations and Diffusion
- Multiscale characteristics of the emerging global cryptocurrency market
- Coupled continuous time random walks in finance
- Quantitative features of multifractal subtleties in time series
- Common Scaling Patterns in Intertrade Times of U. S. Stocks
- Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations
- Detecting and interpreting distortions in hierarchical organization of complex time series
- Scaling and memory of intraday volatility return intervals in stock market
- Multifractality in the stock market: price increments versus waiting times
- Finite-size effect and the components of multifractality in financial volatility
- Return interval distribution of extreme events and long term memory
- Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
- Stock market return distributions: from past to present
- Scaling in the distribution of intertrade durations of Chinese stocks
- Detrended fluctuation analysis of intertrade durations
- Cryptocurrency Market Consolidation in 2020--2021
- Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
- Effects of long memory in the order submission process on the properties of recurrence intervals of large price fluctuations
- Power law for the calm-time interval of price changes
- Multifactor Analysis of Multiscaling in Volatility Return Intervals
- Financial Return Distributions: Past, Present, and COVID-19
- The distribution of first-passage times and durations in FOREX and future markets
- Statistical properties of volatility return intervals of Chinese stocks
- Extreme value statistics and recurrence intervals of NYMEX energy futures volatility
- Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
- On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
- Scaling and memory in the return intervals of realized volatility
- The mechanism of double exponential growth in hyper-inflation
- Scaling properties and universality of first-passage time probabilities in financial markets
- The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times
- Crypto Wash Trading
- Are the contemporary financial fluctuations sooner converging to normal?
- Empirical properties of inter-cancellation durations in the Chinese stock market
- Modeling of waiting times and price changes in currency exchange data
- Transition in the Waiting-Time Distribution of Price-Change Events in a Global Socioeconomic System