A novel two-stage approach for cryptocurrency analysis

doi:10.1016/j.irfa.2020.101567

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	A novel two-stage approach for cryptocurrency analysis
	Yang, Boyu 1,2; Sun, Yuying 1,3; Wang, Shouyang 1,2,3
	2020-11-01
发表期刊	INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
ISSN	1057-5219
卷号	72 页码:13
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).
关键词	Bitcoin Cryptocurrency Noise-assisted multivariate empirical mode decomposition Two-stage decomposition and composition
DOI	10.1016/j.irfa.2020.101567
收录类别	SCI
语种	英语
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
WOS类目	Business, Finance
WOS记录号	WOS:000591270200016
出版者	ELSEVIER SCIENCE INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/57808
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.