Research On The Correlation Between Cryptocurrency Volume And Price Based On Multifractal Metho

In recent years,cryptocurrencies based on blockchain technology have been sought after by the majority of investors and have become a hot investment in the financial investment field.The volatile behaviour of cryptocurrencies has attracted the close attention of governments,media,academics,and the public.And the closing price and trading volume of cryptocurrencies are the main focus of investors and researchers.Risk is a core issue in all financial research,and identifying,measuring,and predicting financial risk is of great theoretical and practical importance in risk management.Since price and volume are the products of trading activities driven by the same information and similar market mechanisms,comprehensive consideration of the price-volume relationship is significant for studying the efficiency of cryptocurrency markets and preventing systemic risks from cryptocurrencies.The concept of multifractal takes into account the complexity of markets and provides ex-planations for market patterns and correlations in terms of similarity,long memory,and scaling scales,all of which are not captured by the Efficient Market Hypothesis(EMH).Multifractal strengths based on multifractal approaches can be used as an indicator to quantify market effec-tiveness and market risk.In this paper,we use multifractal detrended cross-correlation analysis(MF-DCCA)and multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA)to investigate the price-volume correlation of cryptocurrencies.The main work of the thesis is as follows.1.Using the cross-correlation test to examine the quantitative correlation of the cryp-tocurrency market and quantify the correlation using the detrended cross-correlation analy-sis(DCCA).2.Applying multifractal detrended fluctuation analysis(MF-DFA)to investigate the multi-fractal characteristics of price and volume in the Bitcoin market and the market effectiveness of cryptocurrencies,and then using multifractal detrended cross-correlation analysis(MF-DCCA)to explore the multifractal characteristics of price-volume correlation in Bitcoin and its sources.It is found that the Bitcoin market is an inefficient market? the price,volume,and price-volume all have multifractal characteristics,and the sources of the price-volume correlation multifractal characteristics are long-range correlation and thick-tailed distribution.3.According to the Fractal Market Hypothesis(FMH),short- and long-term investors have different investment levels and different valuation of information flow.MF-DCCA method is used to compare the degree of price-volume correlation multifractal of bitcoin under long- and short-term horizons.The empirical results show that the degree of price-volume multifractal characteristics of the short-term horizon is stronger than that of the long-term horizon,indicating that the Bitcoin short-term investment horizon is more complex,more efficient and riskier than the long-term investment horizon.4.To investigate the asymmetry of the herd effect in different market trends(up or down),the multifractal asymmetric detrended cross-correlation analysis(MF-ADCCA)method is used to investigate the asymmetry of price-volume correlations in six cryptocurrency markets.The empirical results show that all six cryptocurrency markets are inefficient markets and the cor-relations are anti-persistent and multifractal,but the strength of the anti-persistence and multi-fractality varies with different market trends.