Copertina

Multifractality and sample size influence on Bitcoin volatility patterns

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autore principale:	Takaishi, Tetsuya
Natura:	Preprint
Pubblicazione:	2025
Soggetti:	Statistical Finance
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets
di: Takaishi, Tetsuya
Pubblicazione: (2025)

The Impact of Trump-Era Tariffs on Financial Market Efficiency
di: Takaishi, Tetsuya
Pubblicazione: (2026)

Multifractality in Bitcoin Realised Volatility: Implications for Rough Volatility Modelling
di: Pontiggia, Milan
Pubblicazione: (2025)

Volatility time series modeling by single-qubit quantum circuit learning
di: Takaishi, Tetsuya
Pubblicazione: (2025)

On Bitcoin Price Prediction
di: Bournassenko, Grégory
Pubblicazione: (2025)

An empirical study of market risk factors for Bitcoin
di: Singh, Shubham
Pubblicazione: (2024)

Critical Dynamics of Random Surfaces and Multifractal Scaling
di: Schmidhuber, Christof
Pubblicazione: (2025)

Multifractality and its sources in the digital currency market
di: Drożdż, Stanisław, et al.
Pubblicazione: (2025)

Comparative analysis of stationarity for Bitcoin and the S&P500
di: Tang, Yaoyue, et al.
Pubblicazione: (2024)

Dissecting Multifractal detrended cross-correlation analysis
di: Stosic, Borko, et al.
Pubblicazione: (2024)

Rough volatility: evidence from range volatility estimators
di: Mouti, Saad
Pubblicazione: (2023)

Bitcoin Forecasting with Classical Time Series Models on Prices and Volatility
di: Kareem, Anmar, et al.
Pubblicazione: (2025)

Bitcoin versus S&P 500 Index: Return and Risk Analysis
di: Nzokem, A. H.
Pubblicazione: (2023)

Complexity of Financial Time Series: Multifractal and Multiscale Entropy Analyses
di: Masoudi, Oday, et al.
Pubblicazione: (2025)

Cryptocurrencies in the Balance Sheet: Insights from (Micro)Strategy -- Bitcoin Interactions
di: Aufiero, Sabrina, et al.
Pubblicazione: (2025)

Comparative Study of Bitcoin Price Prediction
di: Mohammadjafari, Ali
Pubblicazione: (2024)

A nonparametric test for rough volatility
di: Chong, Carsten H., et al.
Pubblicazione: (2024)

Statistical inference for rough volatility: Minimax Theory
di: Chong, Carsten, et al.
Pubblicazione: (2022)

A GMM approach to estimate the roughness of stochastic volatility
di: Bolko, Anine E., et al.
Pubblicazione: (2020)

Exploring the Bitcoin Mesoscale
di: Vallarano, Nicolò, et al.
Pubblicazione: (2023)

The Endogenous Constraint: Hysteresis, Stagflation, and the Structural Inhibition of Monetary Velocity in the Bitcoin Network (2016-2025)
di: Soleimani, Hamoon
Pubblicazione: (2025)

From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
di: Bianchi, Sergio, et al.
Pubblicazione: (2025)

Quantifying neural network uncertainty under volatility clustering
di: Wong, Steven Y. K., et al.
Pubblicazione: (2024)

Comparing Bitcoin and Ethereum tail behavior via Q-Q analysis of cryptocurrency returns
di: Nzokem, A. H.
Pubblicazione: (2025)

Why is the volatility of single stocks so much rougher than that of the S&P500?
di: Zarhali, Othmane, et al.
Pubblicazione: (2025)

On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures
di: Wang, Zian, et al.
Pubblicazione: (2024)

What events matter for exchange rate volatility ?
di: Martins, Igor, et al.
Pubblicazione: (2024)

From rough to multifractal multidimensional volatility: A multidimensional Log S-fBM model
di: Zarhali, Othmane, et al.
Pubblicazione: (2026)

Dynamic graph neural networks for enhanced volatility prediction in financial markets
di: Kumar, Pulikandala Nithish, et al.
Pubblicazione: (2024)

The leverage effect and other stylized facts displayed by Bitcoin returns
di: Filho, F. N. M. de Sousa, et al.
Pubblicazione: (2020)

Bitcoin Price Forecasting Based on Hybrid Variational Mode Decomposition and Long Short Term Memory Network
di: Boadi, Emmanuel
Pubblicazione: (2025)

Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models
di: Koch, Dennis, et al.
Pubblicazione: (2024)

Bitcoin Price Prediction using Machine Learning and Combinatorial Fusion Analysis
di: Wu, Yuanhong, et al.
Pubblicazione: (2026)

Analytic estimation of parameters of stochastic volatility diffusion models with exponential-affine characteristic function for currency option pricing
di: Łabędzki, Mikołaj
Pubblicazione: (2025)

Short-time expansion of characteristic functions in a rough volatility setting with applications
di: Chong, Carsten H., et al.
Pubblicazione: (2022)

Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures
di: Lee, Kyungsub
Pubblicazione: (2022)

First-passage horizons in horizontal visibility graphs: a rank-invariant estimator of path roughness for rough volatility models
di: Sikorski, Michał
Pubblicazione: (2025)

Forecasting of Bitcoin Prices Using Hashrate Features: Wavelet and Deep Stacking Approach
di: Mousa, Ramin, et al.
Pubblicazione: (2025)

Kullback-Leibler cluster entropy to quantify volatility correlation and risk diversity
di: Ponta, L., et al.
Pubblicazione: (2024)

An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition
di: de Vilmarest, Joseph, et al.
Pubblicazione: (2023)