论文标题
一种模型还不够：加密货币的多重分数轮廓中的异质性
One model is not enough: heterogeneity in cryptocurrencies' multifractal profiles
论文作者
论文摘要
本文研究了84个加密货币中的多型动力学。通过使用两种替代性多尺度方法来研究该市场，它填补了文献中的重要空白。我们发现令人信服的证据表明，加密货币具有不同程度的远距离依赖性，并且 - 重要的是 - 遵循不同的随机过程。其中一些遵循模型更接近单一分数高斯噪音，而另一些模型则表现出复杂的多重动力学。关于多纹状体的来源，我们的结果混合在一起。时间序列改组会降低多种纹理水平，但不足以抵消它。我们发现峰度与多纹状体的关联。
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that cryptocurrencies have different degree of long range dependence, and --more importantly -- follow different stochastic processes. Some of them follow models closer to monofractal fractional Gaussian noises, while others exhibit complex multifractal dynamics. Regarding the source of multifractality, our results are mixed. Time series shuffling produces a reduction in the level of multifractality, but not enough to offset it. We find an association of kurtosis with multifractality.
