Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 560, Issue -, Pages -Publisher
ELSEVIER
DOI: 10.1016/j.physa.2020.125172
Keywords
Multifractal detrending moving average cross-correlation analysis; Cryptocurrencies; Rolling windows
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In this paper, we investigate the cross-correlations between three benchmark cryptocurrencies (including Bitcoin, Ethereum and Ripple) and some of the well-known crude oils (West Texas Intermediate and Brent). The data of the study spans from 7 August 2015 to 10 June 2019. We utilized the multifractal detrending moving average cross-correlation analysis (MF-X-DMA) method to examine the multifractal features among data. We find that the cross-correlations between each pair of time series are significant by using the cross-correlation test statistic Q(cc)(m)''-analysis and detrended moving average crosscorrelation analysis (DMCA) coefficient. Also, the cross-correlation coefficients.DMCA show that the data are positively correlated, but the degree of correlation has been elevated by increasing the window intervals v. The observed results obtained through the MF-X-DMA method infer the existence of multifractal cross-correlations on ten bivariate time series in the study and that the strength of multifractality between Ethereum and Ripple is the highest, followed by the strength of multifractality between WTI crude oil and Ethereum. (c) 2020 Elsevier B.V. All rights reserved.
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