Power-law return-volatility cross-correlations of Bitcoin
Power-law return-volatility cross-correlations of Bitcoin
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DOI：
10.1209/0295-5075/129/28001
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发表时间：
2020-02
期刊：
影响因子：
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通讯作者：
T. Takaishi
中科院分区：
文献类型：
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作者：
T. Takaishi
本文研究了比特币的收益-波动不对称性。我们发现，收益率和波动率（平方收益率）之间的交叉相关性在日常水平上大多是微不足道的。在高频区域，我们发现收益率与未来波动率之间的负相关性呈现幂律关系，说明这种负相关性是长期的。我们还计算了收益率和绝对收益率的幂之间的互相关，我们发现互相关的强度取决于幂的值。
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 daily level. In the high-frequency region, we find that a power-law appears in negative cross-correlation between returns and future volatilities, which suggests that the cross-correlation is long-ranged. We also calculate a cross-correlation between returns and the power of absolute returns, and we find that the strength of the cross-correlations depends on the value of the power.