157 citations · 987 across the 55 of their papers we have counts for
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q-fin.ST2019★ 60 cited
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…
q-fin.ST2019★ 43 cited
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…