A novel two-stage approach for cryptocurrency analysis
文献类型：期刊论文
| 作者 | Yang, Boyu1,2; Sun, Yuying1,3; Wang, Shouyang1,2,3 |
| 刊名 | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
 |
| 出版日期 | 2020-11-01 |
| 卷号 | 72页码:13 |
| 关键词 | Bitcoin Cryptocurrency Noise-assisted multivariate empirical mode decomposition Two-stage decomposition and composition |
| ISSN号 | 1057-5219 |
| DOI | 10.1016/j.irfa.2020.101567 |
| 英文摘要 | Modelling and quantifying the underlying characteristics of the cryptocurrency market has drawn increasing attention since Bitcoin went online in 2009. This study proposes a two-stage decomposition and composition method (2SDC) that begins with a Noise-Assisted Multivariate Empirical Mode Decomposition (NA-MEMD) for better interpreting cryptocurrency formations. This study involves daily closing price data from six crypto-currencies (i.e., Bitcoin, Ethereum, Bitcoin Cash, Litecoin, Monero and Dash) from July 23rd, 2017 to July 23rd, 2019. In the first stage, six time series are jointly decomposed into 10 independent intrinsic mode functions (IMF) from high to low frequency plus one residual. In the second stage, the IMFs for each cryptocurrency are composed into three components based on Wilcoxon signed-rank test, including high and low frequency components and a long-term trend. These three multi-scale components can be interpreted as short-term fluctuations caused by investor sentiment and micro-structure, the effect of significant events and fundamental values. Furthermore, we demonstrated that the low and high frequency compositions are determining factors of cryptocurrency prices, which supports for the existing evidence (e.g. Bouoiyour, Selmi, Tiwari, & Olayeni, 2016; Ji, Bouri, Lau, & Roubaud, 2019). |
| 资助项目 | National Natural Science Foundation of China[71703156] ; National Natural Science Foundation of China[71988101,72073126] |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000591270200016 |
| 出版者 | ELSEVIER SCIENCE INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/57807]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Sun, Yuying |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yang, Boyu,Sun, Yuying,Wang, Shouyang. A novel two-stage approach for cryptocurrency analysis[J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,2020,72:13. |
| APA | Yang, Boyu,Sun, Yuying,&Wang, Shouyang.(2020).A novel two-stage approach for cryptocurrency analysis.INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS,72,13. |
| MLA | Yang, Boyu,et al."A novel two-stage approach for cryptocurrency analysis".INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 72(2020):13. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。