157 citations · 987 across the 55 of their papers we have counts for
55 papers
Time-varying properties of asymmetric volatility and multifractality in Bitcoin
Tetsuya Takaishi
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships…
Power-Law Return-Volatility Cross Correlations of Bitcoin
T. Takaishi
This paper investigates the return-volatility asymmetry of Bitcoin. We find that the cross correlations between return and volatility (squared return) are mostly insignificant on a…
Recent scaling properties of Bitcoin price returns
Tetsuya Takaishi
While relevant stylized facts are observed for Bitcoin markets, we find a distinct property for the scaling behavior of the cumulative return distribution. For various assets, the…
Rough volatility of Bitcoin
Tetsuya Takaishi
Recent studies have found that the log-volatility of asset returns exhibit roughness. This study investigates roughness or the anti-persistence of Bitcoin volatility. Using the mul…
Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study
Tetsuya Takaishi, Takanori Adachi
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 expo…
Localization and delocalization of fermions in a background of correlated spins
Tetsuya Takaishi, Kazuhiko Sakakibara, Ikuo Ichinose +1
We study the (de)localization phenomena of one-component lattice fermions in spin backgrounds. The O(3) classical spin variables on sites fluctuate thermally through the ordinary n…