Multifractal analysis of Bitcoin price dynamics
This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019–2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in economic i...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2025-02-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://mla.vgtu.lt/index.php/JBEM/article/view/23025 |
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| author | Cristian Bucur Bogdan-George Tudorică Adela Bâra Simona-Vasilica Oprea |
| author_facet | Cristian Bucur Bogdan-George Tudorică Adela Bâra Simona-Vasilica Oprea |
| author_sort | Cristian Bucur |
| collection | DOAJ |
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This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019–2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in economic indicators such as inflation rates and energy commodity prices. The non-linear singularity spectra unveil the multifaceted nature of scaling properties. Temporal analysis exposes intriguing trends in multifractality with implications for market efficiency. Furthermore, correlation analysis unveils connections among multifractal properties. For instance, a positive correlation between oil prices and Bitcoin suggests similar market forces. The log-log plot of fluctuation function Fq versus lag size demonstrates a power-law relationship, characteristic of multifractal systems. The empirical data’s alignment in log-log space suggests self-similarity in the Bitcoin time series, supporting multifractality. The calculated Hurst exponents values suggest varying degrees of multifractality across the years, with 2021 exhibiting the highest degree and 2022 the lowest. Furthermore, an asymmetry index (0.5767) deviating from 0.5 indicates that the multifractal nature of the Bitcoin market is not symmetric. This research enhances risk assessment and portfolio optimization in finance. It challenges the Efficient Market Hypothesis (EMH), emphasizing the significance of MFDFA in comprehending financial market and economic factor’s relationships.
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| format | Article |
| id | doaj-art-c90a14b260004ac7a77d264d0cc20a70 |
| institution | Kabale University |
| issn | 1611-1699 2029-4433 |
| language | English |
| publishDate | 2025-02-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj-art-c90a14b260004ac7a77d264d0cc20a702025-02-03T16:30:25ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332025-02-0126110.3846/jbem.2025.23025Multifractal analysis of Bitcoin price dynamicsCristian Bucur0Bogdan-George Tudorică1Adela Bâra2Simona-Vasilica Oprea3Department of Cybernetics, Economic Informatics, Finance and Accountancy, Petroleum-Gas University of Ploiesti, Ploiesti, RomaniaDepartment of Cybernetics, Economic Informatics, Finance and Accountancy, Petroleum-Gas University of Ploiesti, Ploiesti, RomaniaDepartment of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Bucharest, RomaniaDepartment of Economic Informatics and Cybernetics, Bucharest University of Economic Studies, Bucharest, Romania This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in financial variables, including Bitcoin prices and economic indicators. Spanning 2019–2022, the analysis reveals multifractal scaling not only in Bitcoin prices, but also in economic indicators such as inflation rates and energy commodity prices. The non-linear singularity spectra unveil the multifaceted nature of scaling properties. Temporal analysis exposes intriguing trends in multifractality with implications for market efficiency. Furthermore, correlation analysis unveils connections among multifractal properties. For instance, a positive correlation between oil prices and Bitcoin suggests similar market forces. The log-log plot of fluctuation function Fq versus lag size demonstrates a power-law relationship, characteristic of multifractal systems. The empirical data’s alignment in log-log space suggests self-similarity in the Bitcoin time series, supporting multifractality. The calculated Hurst exponents values suggest varying degrees of multifractality across the years, with 2021 exhibiting the highest degree and 2022 the lowest. Furthermore, an asymmetry index (0.5767) deviating from 0.5 indicates that the multifractal nature of the Bitcoin market is not symmetric. This research enhances risk assessment and portfolio optimization in finance. It challenges the Efficient Market Hypothesis (EMH), emphasizing the significance of MFDFA in comprehending financial market and economic factor’s relationships. https://mla.vgtu.lt/index.php/JBEM/article/view/23025multifractal analysisfinancial time seriesBitcoinmarket efficiencysingularity spectracorrelation matrix |
| spellingShingle | Cristian Bucur Bogdan-George Tudorică Adela Bâra Simona-Vasilica Oprea Multifractal analysis of Bitcoin price dynamics Journal of Business Economics and Management multifractal analysis financial time series Bitcoin market efficiency singularity spectra correlation matrix |
| title | Multifractal analysis of Bitcoin price dynamics |
| title_full | Multifractal analysis of Bitcoin price dynamics |
| title_fullStr | Multifractal analysis of Bitcoin price dynamics |
| title_full_unstemmed | Multifractal analysis of Bitcoin price dynamics |
| title_short | Multifractal analysis of Bitcoin price dynamics |
| title_sort | multifractal analysis of bitcoin price dynamics |
| topic | multifractal analysis financial time series Bitcoin market efficiency singularity spectra correlation matrix |
| url | https://mla.vgtu.lt/index.php/JBEM/article/view/23025 |
| work_keys_str_mv | AT cristianbucur multifractalanalysisofbitcoinpricedynamics AT bogdangeorgetudorica multifractalanalysisofbitcoinpricedynamics AT adelabara multifractalanalysisofbitcoinpricedynamics AT simonavasilicaoprea multifractalanalysisofbitcoinpricedynamics |