New Articles – Finance

NONLINEAR ANALYSIS AND PREDICTION OF BITCOIN RETURN’S VOLATILITY

Tao Yin, Yiming Wang

This paper mainly studies the market nonlinearity and the prediction model based on the intrinsic generation mechanism (chaos) of Bitcoin’s daily return’s volatility from June 27, 2013 to November 7, 2019 with an econophysics perspective, so as to avoid the forecasting model misspecification. Firstly, this paper studies the multifractal and chaotic nonlinear characteristics of Bitcoin volatility by using multifractal detrended fluctuation analysis (MFDFA) and largest Lyapunov exponent (LLE)…

DOI (& full text): doi.org/10.15240/tul/001/2022-2-007 more