$Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis$

Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis

Since its launch in 2009, bitcoin has thrived, attracting the attention of investors, regulators, academia, and the public in general. Its price dynamics, characterized by extreme volatility, severe jumps, and impressive long-term appreciation, suggest that bitcoin is a new digital asset. This study...

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Bibliographic Details
Main Authors:	Cristiana Vaz, Rui Pascoal, Helder Sebastião
Format:	Article
Language:	English
Published:	MDPI AG 2021-08-01
Series:	Mathematics
Subjects:	bitcoin multifractality MF-DFA market efficiency high-frequency statistical inference
Online Access:	https://www.mdpi.com/2227-7390/9/17/2088

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