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Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
Stanisław Drożdż1, Robert Gȩbarowski2, Ludovico Minati1
1Complex Systems Theory Department, Institute of Nuclear Physics Polish Academy of Sciences, ul. Radzikowskiego 152, 31-342 Kraków, Poland.
Abstract:
Based on 1-min price changes recorded since year 2012, the fluctuation properties of the rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst exponents, and multiscaling effects. The findings are compared to the stylized facts of mature world markets. While early trading was affected by system-specific irregularities, it is found that over the months preceding April 2018 all these statistical indicators approach the features hallmarking maturity. This can be taken as an indication that the Bitcoin market, and possibly other cryptocurrencies, carry concrete potential of imminently becoming a regular market, alternative to the foreign exchange. Since high-frequency price data are available since the beginning of trading, the Bitcoin offers a unique window into the statistical characteristics of a market maturation trajectory.
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