Statistical properties and multifractality of Bitcoin

摘要: Abstract Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality a time series. We find that the return distribution is fat-tailed, kurtosis largely deviates from Gaussian expectation. Although for large sampling periods, anticipated to approach expectation, convergence very slow. Skewness found be negative at scales shorter than one day becomes consistent with zero longer about week. also daily volatility-asymmetry by using GARCH, GJR, RGARCH models, no evidence it. On exploring multifractal detrended fluctuation analysis, series exhibits multifractality. The sources are investigated, confirming both temporal correlation fat-tailed contribute influence “Brexit” on June 23, 2016 GBP–USD exchange rate examined in properties. that, while Brexit influenced rate, was robust Brexit.