Chaos, Solitons and Fractals 109 (2018) 195–205

Contents lists available at ScienceDirect

Chaos, Solitons and Fractals

Nonlinear Science, and Nonequilibrium and Complex Phenomena
journal homepage: www.elsevier.com/locate/chaos

Does Bitcoin exhibit the same asymmetric multifractal

cross-correlations with crude oil, gold and DJIA as the Euro, Great
British Pound and Yen?
Gabriel Gajardo a, Werner D. Kristjanpoller a,∗, Marcel Minutolo b
a
Departamento de Industrias, Universidad Tecnica Federico Santa Maria, Avenida España 1680, Valparaiso, Chile
b
School of Business, Robert Morris University, 6001 Unviersity Boulevard, Moon Township, PA 15108, USA

a r t i c l e i n f o a b s t r a c t

Article history: We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations between the
Received 6 October 2017 major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA), gold price and the oil
Revised 6 February 2018
crude market. We find that multifractality exists in every cross-correlation studied, and there is asym-
Accepted 21 February 2018
metry in the cross-correlation exponents under different trend of the WTI, Gold and DJIA. Bitcoin shows
a greater multifractal spectra than the other currencies on its cross-correlation with the WTI, the Gold
Keywords: and the DJIA. Bitcoin shows a clearly different relationship with commodities and stock market indices
Multifractality which has to be taken into consideration when investing. This has to do with the years this currency has
Asymmetric cross-correlations been traded, the characteristics of cryptocurrencies and its gradual adoption by financial organizations,
Bitcoin
governments and the general public.
Exchange rates
Crude oil market © 2018 Published by Elsevier Ltd.
Gold market

1. Introduction
Cryptocurrency is quickly becoming an important aspect of the
global financial market. At the time of this writing, Cyrptocur-
rency Market Capitalization lists the total market capitalization of
all cryptocurrency at approximately $144 billion dollars of which
Bitcoin accounts for almost half of all the valuation. Bitcoin is cur-
rently trading at approximately $4,100 per coin and has a total
capitalization of approximately $68 billion USD; a valuation which
just five years ago would have been unthinkable. Major financial
organizations are taking large positions in cryptocurrencies, retail-
ers are taking coin for payment, and people are sending money
abroad. In a 2016 piece, Harwick [1] finds that Bitcoin possesses
some attributes that may make it a good complement to curren-
cies of emerging markets. Some of the promise of cryptocurrency
comes from the potential to reduce transaction costs, the security
in the transaction, and potential reduction in exchange rate risk[2].
However, at present there has been little attention paid to how
cryptocurrency behaves.
Given the rising use of the cryptocurrencies, we propose to per-
form an analysis of the behavior of the value Bitcoin applying
fractal theory and comparing it with the behavior of some ma-
∗
Corresponding author.
E-mail address: werner.kristjanpoller@usm.cl (W.D. Kristjanpoller).
jor global currencies including the Euro, the Great Britain Pound,
and the Japanese Yen. In particular, we propose to evaluate the
behavior with respect to the presence and asymmetry of cross-
correlations between these currencies and three major financial as-
sets: gold, crude oil and the DJIA index.
The current study is motivated by the rise of the interest and
potential of cryptocurrency in general and Bitcoin in particular. An-
alyzing the behavior of Bitcoin with respect to crude oil, gold and
the DJIA can be contrasted if its behavior is similar to other cur-
rencies. If the results show that there is similarity with respect
to other currencies then one may conclude that Bitcoin behaves
like any other currency. However, if the results show differences
then we might concluded that this an anomaly of the currency or
that Bitcoin, and cryptocurrency by extension, does not behave as
a currency and may be that its behavior is more similar to an-
other financial asset. In fact, under the Internal Revenue Service
(IRS) guidance, crytpocurrency is treated as property for U.S. Fed-
eral tax purposes (Notice 2014-21, 2014-16, IRBXXX). Even if the
results are dissimilar one could conclude that we are facing a fi-
nancial bubble or irrational exuberance.
Recent movements in the exchange rate between Bitcoin and
the U.S. Dollar highlight the importance of understanding the be-
havior of the asset. On December 17, 2017 the exchange rate be-
tween Bitcoin and the USD broke the $20,0 0 0 mark and in the
same day closed at just above $19,0 0 0. In the month and a half
since the all-time high, the rate has dropped back down to a low

https://doi.org/10.1016/j.chaos.2018.02.029
0960-0779/© 2018 Published by Elsevier Ltd.
196 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205

closing price of $7,100. The movement suggests that cryptocurren-
cies remain a speculators market and perhaps we have just wit-
nessed the largest bubble in Bitcoin to date. Hence, the need to
develop a better understanding of this instrument.
Assuming that cryptocurrency in general, and Bitcoin in partic-
ular, one needs to apply a model that captures the potential non-
linearity of the instrument. Traditional techniques such as Ordi-
nary Least Squares is limited in its ability to capture complex re-
lationships between data. Cheung et al. [3] applied an augmented
Dickey–Fuller test and found the presence of a number of short-
lived bubbles and three large bubbles in their analysis of Bitcoin.
Their approach was selected to test for explosive behavior in a
given time series. Hence, a different approach that has the poten-
tial to capture the complexity and is more robust is sought. To this
end, we propose to apply fractal analysis to the time series.
One of the most widely used tests to determine the fractal di-
respect to three major financial assets, the price of gold, the price
of crude oil and the DJIA stock index.
The remainder of this paper is organized as follows.
Section 2 describes the method used, Section 3 describes the
data used in the analysis. Section 4 provides the results obtained.
In the final section of the manuscript, we present our conclusions
and recommendations.
2. Multifractal asymmetric detrended cross-Correlation analysis
method
Two time series xi and yi , i = 1, . . . , N, N is the length of the
series. The following steps summarizes the approach [67].
First: Construct the profile

i 
i

mension of a given time series is the Rescaled Range Analysis (R/S), X (i ) = (xt − x̄ ), Y (i ) = (yt − ȳ ), i = 1, . . . , N (1)
introduced by Hurst [4,5]. One of the main benefits of the R/S t=1 t=1

analysis is that it is robust in that its behavior is related only by
the long-term persistence dependence being able to detect non-
periodic cycles even if they have a length greater than the analyzed
sample period. Additionally, R/S is able to detect long-term corre-
lations in random processes. Mandelbrot and Wallis [6] using R/S
found that many natural phenomena are not independent random
processes; and, giving an interpretation to the exponent of Hurst H
there is significant long-term correlation.
One could use other approaches; however, there are limitations
to others that fractal analysis overcomes. For instance, some limita-
tions of traditional models, such as Fourier transform and spectral
analysis, fail to qualify scaling behaviors. Peng et al. [7] developed
the Fluctuation Analysis (FA) method and then the Detrended Fluc-
tuation Analysis (DFA) method [8]. Because the mono-fractal scal-
ing behavior cannot fully describe the uneven multi-fractal charac-
Where x̄ and ȳ represent the average of the series in the whole
period. Second: X(i) and Y(i) are separated into Ns ≡ [N/s] non-
overlapping windows of equal length s. Since the length of the se-
ries N is not necessarily a multiple of the time scale s, some part
of the profile can remain at the end. In order to not discard this
part, the same procedure is applied starting from the end of the
series. This means that we obtain 2Ns segments. Third: The trends,
Xv (i) and Yv (i) for each one of the 2Ns segments are estimated with
a linear regression as: X v (i ) = aX v + bX v · i and Y v (i ) = aY v + bY v · i.
This precedes the determination of the detrended covariance, cal-
culated as follows
1
s
F ( v, s ) = |X [(v − 1 )s + i] − X v (i )| · |Y [(v − 1 )s + i] − Y v (i )|
s
i=1

teristics of the time series and signals, it is necessary to develop (2)

the Multi-Fractal Detrended Fluctuation Analysis (MF-DFA) [9,10].
for each segment v, v = 1, . . . , Ns and
The MF-DFA method has been applied in many fields [11–17]. Par-
1
ticularly in the field of finance MF-DFA has been applied to ana- s

lyze stock market [18–28], exchange rates [29–39], interest rates F ( v, s ) = |X [N − (v − Ns )s + i] − X v (i )|

s
[40], market efficiency [41–46], risk market valuation [47,48], fi- i=1

nancial crisis [49,50], investment strategies [51], gold market [52– · |Y [N − (v − Ns )s + i] − Y v (i )| (3)
55], crude oil market [56–59], and the future market [60–62].
for each segment v, v = Ns + 1, . . . , 2Ns .
Since the behavior of financial assets may contain components
Fourth: The qth order of the fluctuation function is obtained as
of trends and asymmetry in the reaction to different impacts
follows for the different behavior of the trends in time series xt
Alvarez-Ramirez et al. [63] introduced the asymmetric DFA (A-DFA)
to analyze asymmetric correlations in the scaling behavior of the  1/q
1 s sign(bX v ) + 1
2N
time series. Cao et al. [64] further extended the DFA (A-DFA) with Fq+ (s ) = [F (v, s )]q/2 (4)
the proposition of the asymmetric multi-fractal detrended fluctua- M+ 2
v=1
tion analysis (A-MFDFA). Further, Zhang et al. [65] introduced the
asymmetric multi-fractal detrending moving average analysis (A-  1/q
1 s −[sign(bX v ) − 1]
2N
MFDMA). Recently, Lee et al. [66] used A-MFDMA to analyze U.S.
Fq− (s ) = [F (v, s )]q/2 (5)
stock market indexes while Gajardo and Kristjanpoller [67] applied M− 2
v=1
the cross-correlation version of the A-MFDFA, the A-MFDCCA, to
study the Latin American stock markets and their relationship with when q = 0, and
the oil market.  1/q
Analyzing the behavior of Bitcoin with respect to crude oil, gold 1 s sign(bX v ) + 1
2N

and DJIA, one can be contrasted if its behavior to determine its F0+ (s ) = exp [F (v, s )]q/2 (6)
2M + 2
similarity to the major currencies. If the results show that there v=1
is similarity with the other currencies a conclusion could be that
 1/q
Bitcoin behaves like any other currency; but, if the results show
1 s −[sign(bX v ) − 1]
2N
differences it can be concluded that this is an anomaly of a cur- F0− (s ) = exp [F (v, s )]q/2 (7)
rency or that Bitcoin does not behave as a currency and may be
2M − 2
v=1
that its behavior is more similar to another financial asset. Even if
 Ns sign(bX v )+1  Ns −[sign(bX v )−1]
the results are dissimilar one might conclude that we are facing a for q = 0. M+ = 2v=1 2 and M− = 2v=1 2 are
financial bubble or irrational exuberance. This is the first study of the number of subtime series with positive and negative trends.
Bitcoin’s multifractal properties. The comparison of the multifac- We assume bX v = 0 for all v = 1, . . . , 2Ns , such that M+ + M− =
tral and asymmetric behavior of the currencies is carried out with 2Ns .
 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205
Fig. 1. Cross-correlation exponent Hxy (q) vs. q for the currency series and WTI.
Fig. 2. Asymmetry degree Hxy (q) for the bivariate series when WTI has different
trends.
Fig. 3. Multi-Fractal spectra v/s α .
197
The traditional MF-DCCA is implemented by computing the av-
erage fluctuation function for q = 0
 1/q
1 s
2N
Fq (s ) = [F (v, s )]q/2 (8)
2Ns
v=1
and as follows when q = 0
 
1 s
2N
Fq (s ) = exp ln[F (v, s )] (9)
4Ns
v=1
Fifth: The scaling behavior of the fluctuations is analyzed by
observing the log-log plots of Fq (s) versus s for each value of q.
In the case where the two series are long-range cross-correlated,
Fq (s) will increase for large values of s, as a power law
Fq (s ) ∼ sHxy (q ) (10)
Fq+ (s ) ∼ sHxy (q )
+
(11)
Fq− (s ) ∼ sHxy (q )
−
(12)
The scaling exponent Hxy (q) is known as the generalized cross-
correlation exponent, and describes the power-law relationship be-
tween two series. It is obtained by calculating the slope of the log-
log plots of Fq (s) versus s through the method of Ordinary Least
Squares (OLS).
In the case of q = 2, the generalized cross-correlation exponent
has similar properties and interpretation as the univariate Hurst
exponent calculated by the DFA. If Hxy (2) > 0.5, the series are cross-
persistent, so a positive (negative) change in one price is more sta-
tistically probable to be followed by a positive (negative) value of
the other price. In the case where Hxy (2) < 0.5 the series are cross-
antipersistent, which means that a positive (negative) change in
one price is more statistically probable to be followed by a neg-
ative (positive) change on the other price. For Hxy (2 ) = 0.5 only
short-range cross-correlations (or no correlations at all) are present
in the relationship between the series.
To measure the asymmetric degree of the cross-correlations we
can calculate, for every q, the following metric
Hxy (q ) = Hxy
+
(q ) − Hxy
−
(q ) (13)
The greater the absolute value, the greater the asymmetric behav-
ior. If Hxy (q) is equal or close to zero, then the cross-correlations
are symmetric for different trends of time series xt . If Hxy (q)
is positive, it means that the cross-correlation exponent is higher
when the time series xt has a positive trend than when it is nega-
tive. If it is negative, the cross-correlation exponent is lower when
the time series xt has a positive trend than when it is negative.
If the value of the generalized cross-correlation exponent Hxy (q)
depends on the value of q, the cross-correlation between the two
time series is multifractal. Just like in the MF-DCCA, for q > 0,
+ −
Hxy (q), Hxy (q ) and Hxy (q ) describe the scaling behavior of large
fluctuations, and for q < 0, describe the scaling behavior of small
fluctuations. In this paper, we study the multifractal behavior un-
der different trends of both the WTI and the stock market indices.
3. Data
For this study, we selected the daily closing price of the fol-
lowing currencies: the Euro (EUR); the Great Britain Pound (GBP);
the Yen (YEN) and, Bitcoin (BTC); all prices expressed in American
Dollar (USD). We analyzed the behavior of these currencies with
respect to three financial assets: Gold (GOLD); Crude oil (WTI)
and the Dow Jones Industrial Average (DJIA). The sample interval
198 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205

+
Fig. 4. Plots of the Generalized Cross Correlation Exponent Hxy (q), Hxy (q ) and Hxy
−
(q ) under different trends of the WTI.

Table 1
The descriptive statistics of return series. J-B represents the Jarque–Bera statistic, ADF denotes the Augmented Dickey–
Fuller, Q(10) denotes the value of Ljung–Box–Pierce Q statistic with 10 lags and the ARCH(10) is the Engle’s ARCH test
with 10 lags.

Bitcoin Dow Jones Euro GB Pound Gold WTI YEN

Mean (%) 0.444 0.045 0.009 −0.012 −0.023 −0.043 0.024

Std. Dev. (%) 6.195 0.812 0.565 0.569 1.088 2.145 0.621
Median (%) 0.308 0.040 0.007 −0.006 −0.036 −0.011 0.010
Maximum (%) 48.478 4.153 3.176 2.347 4.603 11.621 3.464
Minimum (%) −66.394 −4.574 −3.025 −8.402 −9.821 −10.794 −3.772
Skewness −1.042 −0.264 0.054 −2.306 −0.762 0.182 −0.170
Kurtosis 25.023 6.102 5.482 35.762 10.194 6.046 6.965
Jarque–Bera 30299.21∗ ∗ ∗ 613.15∗ ∗ ∗ 382.28∗ ∗ ∗ 67776.97∗ ∗ ∗ 3347.89∗ ∗ ∗ 582.67∗ ∗ ∗ 980.53∗ ∗ ∗
ADF −40.228∗ ∗ ∗ −40.197∗ ∗ ∗ −40.603∗ ∗ ∗ −38.534∗ ∗ ∗ −19.880∗ ∗ ∗ −17.256∗ ∗ ∗ 20.555∗ ∗ ∗
Q(10) 33.062∗ ∗ ∗ 19.288∗ ∗ 15.479 12.179 3.222 16.184∗ 8.684
ARCH(10) 218.978∗ ∗ ∗ 237.259∗ ∗ ∗ 66.884∗ ∗ ∗ 53.376∗ ∗ ∗ 25.400∗ ∗ ∗ 231.564∗ ∗ ∗ 38.364∗ ∗ ∗
Observations 1486 1486 1486 1486 1486 1486 1486
∗∗ ∗∗∗
Indicates rejection at the 5% significance level. Indicates rejection at the 1% significance level.

is from September 13th, 2005, to August 25th, 2017, which after
cleansing left 1487 observations.
To analyze the relationship between the currencies and the
three financial assets, we calculate the daily return, rt , as the
logarithmic difference between consecutive prices, rt = log(Pt ) −
log(Pt−1 ). In Table 1, we present the descriptive statistics or the
daily returns for Bitcoin, DJIA, the Euro, GB Pound, Gold, WTI, and
the Japanese Yen. One can see from the results that over the period
under consideration, Bitcoin had a much higher average daily re-
turn than the other currencies and commodities. Additionally, dur-
ing the period, while Bitcoin, the Euro, and the Yen had positive
average daily returns, the Pound, Gold, and WTI had negative aver-
 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205 199

Fig. 5. Log–log plots of F2 (n), F2+ (n ), F2− (n ) versus n when WTI has different trends.

Fig. 7. Asymmetry degree Hxy (q) for the bivariate series when Gold has different
Fig. 6. Cross-correlation exponent Hxy (q) vs. q for the currency series and Gold. trends.
200 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205
Fig. 8. Multi-Fractal spectra v/s α .
age daily returns. Additionally, we note that the standard deviation
of Bitcoin is much higher than any other instrument. While the
Fig. 9. Plots of the Generalized Cross Correlation Exponent Hxy (q), Hxy (q ) and Hxy
standard deviation of Bitcoin is 6.195, the next closest asset un-
der consideration is WTI with a measure of 2.145 suggesting that
Bitcoin is much more volatile than the other assets. Finally, looking
at the range between the maximum daily return and the minimum
daily return we note again that Bitcoin has a much greater range
than the other assets further highlighting the overall volatility.
4. Empirical results
In this section, we analyze the cross correlations for changes
in the trends of the WTI, GOLD and DJIA for the four currencies
studied.
4.1. Asymmetric behavior in the cross-correlations for different trends
of crude oil prices
In Fig. 1, the relationship between Hxy (q) and q is shown, with q
varying from -10 to 10. It can be seen that Hxy (q) decreases as q is
greater. Given that Hxy (q) decreases as q increase, we can state that
Hxy(q) is not a constant, which indicates that multifractality exists
in the cross-relations between all currencies and WTI and the scal-
ing exponents. However,there is a difference in magnitude of the
behavior of Bitcoin with respect to the WTI, since the Hxy (q) falls
from 0.79 to 0.4 in the whole spectrum, which is much greater
than the difference of the other currencies. We see in Fig. 1, that
+
−
(q ) under different trends of Gold.
 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205 201

Fig. 10. Log–log plots of F2 (n), F2+ (n ), F2− (n ) versus n when Gold has different trends.

Fig. 12. Asymmetry degree Hxy (q) for the bivariate series when DJIA has different
Fig. 11. Cross-correlation exponent Hxy (q) vs. q for the currency series and DJIA. trends.

the rate of decreases is much sharper than the other assets and the same score and below the Euro. All the functions are mono-
while Bitcoin starts much higher than the others, it falls to nearly tonically decreasing.
202 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205

Table 2
+
Hxy (2), Hxy (2 ) and Hxy
−
(2 ) for the bivariate series when the WTI has different
trends.

Hxy (2) +
Hxy (2 ) −
Hxy (2 ) Hxy (2)
WTI-EUR 0.514 0.448 0.602 −0.154
WTI-GBP 0.514 0.508 0.529 −0.021
WTI-YEN 0.514 0.498 0.546 −0.048
WTI-BTC 0.561 0.572 0.551 0.0206

behavior of Bitcoin with respect to the WTI is completely differ-

Fig. 13. Multi-Fractal spectra v/s α .
In Fig. 2, we plot the asymmetry of Hxy(q) with respect to q
for WTI. Of particular interest is that WTI has different trends with
respect to each of the assets. As can be observed in the Fig. 3 the
ent than the other currencies. In particular it can be seen that it
has a broader spectrum and shifted to the right, which implies
that it has a deeper multifractal behavior than the other assets.
In the analysis of Generalized Cross Correlation Exponent (Fig. 4),
it can be seen that only the Bitcoin shows a slightly higher Hxy (q)
when the WTI market is up. This can be confirmed by the asym-
metry degree in Fig. 2, where Bitcoin shows the lower asymmetry
degree for almost all fluctuations sizes. In the case of GBP a neg-
ative asymmetry is observed until q = 3, where its asymmetry is
reversed.
As can be observed in the log-log plots of F2 (n), F2+ (n ) and
F2− (n ) versus n (Fig. 5), the monofractal case presents clear
slope difference between F2+ (n ) and F2− (n ) for the EUR, which
shows the presence of asymmetry in the cross-correlation with
the WTI. Specifically the generalized cross-correlation exponent,
Hxy (2), tends to be higher when the WTI is downwards. As can be

+
Fig. 14. Plots of the Generalized Cross Correlation Exponent Hxy (q), Hxy (q ) and Hxy
−
(q ) under different trends of DJIA.
 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205
Fig. 15. Log–log plots of F2 (n), F2+ (n ), F2− (n ) versus n when DJIA has different trends.
seen in Table 2 in the case of Bitcoin both slopes are almost equal,
ruling out the presence of asymmetry. The size of asymmetry is
similar with the ones of GBP and YEN, but has opposite direction.
4.2. Asymmetric behavior in the cross-correlations for different trends
of Gold price
In Fig. 6, the relationship between Hxy (q) and q is shown, with
the effect of Gold. Again, it can be seen that Hxy (q) decreases as q
is greater for all the currencies, indicating that multifractality ex-
ists in the cross-relations between all currencies and Gold and all
the functions are monotonically decreasing. But, as with the WTI,
there is a difference in magnitude of the behavior of Bitcoin with
respect to other currencies. Even in this case the differential is
even greater, since it has the highest Hxy (q) for q = − 10 and has
the lowest Hxy (q) for q = 10.
As can be observed in Fig. 8, the behavior of Bitcoin with re-
spect to Gold is different from the other currencies, as was ob-
served with respect to the WTI. In particular it can be seen that
it has a broader spectrum and shifted to the right, which implies
that it has a deeper multifractal behavior. In this case the ampli-
tude of the spectrum is greater than the case with respect to the
WTI, showing greater multifractality. In the analysis of Generalized
Cross Correlation Exponent (Fig. 9), it can be seen that the YEN
shows a higher Hxy(q) when the Gold market is up for all fluctu-
203
ation sizes. Both the Bitcoin and the Euro have a similar behavior,
showing higher values of Hxy (q) when the Gold market is down
until q = 2 and q = 2, respectively, and then reversing its behav-
ior. This behavior contrasts with the behavior of the GBP which
for q < 2 shows similar behavior whether the Gold is up or down,
but for q > 2 the Hxy (q) becomes higher under downward trends
in Gold. In Fig. 7, it can be clearly observed that the asymmetry
degree rises with fluctuation sizes, and that Bitcoin presents the
most asymmetrical behavior.
The log-log plots (Fig. 10), show a slope difference between
F2+ (n ) and F2− (n ) indicating the presence of asymmetry in the
cross-correlations for YEN, being higher for the case of upward
trend of Gold. While for Bitcoin it happens that both tendencies
are almost parallel, but the superior one is in the case of a down-
ward market for Gold. On the other hand, in the case of the Euro
and GBP the difference between its straight lines is almost nil, im-
plying an almost absence of asymmetry with respect to the ten-
dencies of the Gold. This can be confirmed by observing Table 3,
where the asymmetry degree for Bitcoin is just 0.0 0 03.
4.3. Asymmetric behavior in the cross-correlations for different trends
of Dow Jones Industrial Average index
By analyzing the relationship between Hxy (q) and q (Fig. 11) in-
corporating the DJIA effect in Fig. 11, it can be seen that all func-
204 G. Gajardo et al. / Chaos, Solitons and Fractals 109 (2018) 195–205

Table 3 asymmetry is much weaker and stable than the other curren-
+
Hxy (2), Hxy (2 ) and Hxy
−
(2 ) for the bivariate series when cies.
the Gold has different trends.
• The EUR shows the greatest asymmetry in the cross-correlation
Hxy (2) +
Hxy (2 ) −
Hxy (2 ) Hxy (2) with the WTI, giving evidence of how this commodity affects
Gold-EUR 0.495 0.502 0.483 0.019 that currency. It shows the same behavior as YEN, with a
Gold-GBP 0.476 0.481 0.464 0.018 greater cross-correlation exponent for downward trends in the
Gold-YEN 0.503 0.522 0.475 0.047 WTI, but for this currency the asymmetry is not as high.
Gold-BTC 0.530 0.533 0.533 0.0 0 03
• Bitcoin shows a greater multifractal spectra than the other cur-
rencies on its cross-correlation with Gold.
Table 4 • All currencies show similar behavior under different trends of
+
Hxy (2), Hxy (2 ) and Hxy
−
(2 ) for the bivariate series when
Gold market, they show a very small asymmetry degree under
DJIA has different trends.
small fluctuations, but this degree increases with the size of the
Hxy (2) +
Hxy (2 ) −
Hxy (2 ) Hxy (2) fluctuations.
DJIA-EUR 0.450 0.434 0.453 −0.019 • Bitcoin shows no asymmetry in the behavior of the cross-
DJIA-GBP 0.458 0.465 0.448 0.016 correlation with this commodity for the monofractal case (q =
DJIA-YEN 0.485 0.516 0.454 0.062 2), where the asymmetry changes direction. For small fluctu-
DJIA-BTC 0.532 0.529 0.529 0.0 0 0 02
ations the generalized exponent is greater under downward
trends, but for large fluctuations is greater under upward
trends, where it shows a high asymmetry degree.
tions are monotonically decreasing, with a similar behavior for the • Cross-correlation with the DJIA is where Bitcoin shows more
four currencies. It can also be noted in Fig. 13 that throughout the
similar behavior in cross-correlation with the other currencies,
spectrum analyzed always the currency that has the greatest mul-
which can be interpreted as Bitcoin being more affected by
tifractality is Bitcoin. When analyzing the monofractal case of q =
commodities than industry indices. The multifractal spectra is
2, the only coin that has an Hxy (2) greater than 0.5 is the Bitcoin,
still the largest one, but the asymmetry, as with Gold, is prac-
and it can be concluded that it has persistence in the monofractal
tically zero.
context, whereas other currencies show anti-persistence. • For currencies other than Bitcoin, asymmetries tends to appear
The behavior of Bitcoin with respect to the DJIA exhibits sim-
large fluctuations of Gold, and small fluctuations of DJIA (except
ilar behavior to what was seen with respect to the WTI and the
for YEN). But under different trends of WTI they show a more
Gold. As can be seen in Fig. 13, it is the instrument that has the
heterogeneous behavior.
largest spectrum and its curve is shifted to the right. In this case, • Bitcoin shows a clearly different relationship with commodities
its spectrum is not as broad as with Gold. This evidence again con-
and stock market indices which has to be taken into considera-
firms that Bitcoin has a greater multifractal behavior. In the anal-
tion when investing. This has to do with the years this currency
ysis of Generalized Cross Correlation Exponent (Fig. 14), it can be
has been traded, the characteristics of cryptocurrencies and its
seen that only Bitcoin shows a higher Hxy (q) when the DJIA mar-
gradual adoption by financial organizations, governments and
ket is down for every fluctuation size. EUR also shows a higher
the general public.
Hxy (q) for downward trends, but it is limited to large fluctuations • This findings show the importance of the multifractal analysis
and the difference is negligible. This small difference is also shown
in contrast with monofractal one. There are some important
in GBP, but the cross-correlation exponent is always larger for up-
issues in asymmetry of the cross-correlation that are not de-
ward trends of the DJIA. In Fig. 12, the differences in asymmetry
tectable under a monofractal scheme.
are more clear. YEN shows a consistently higher cross-correlation • Our findings are supported by early work such as Baek and
exponent across fluctuations sizes. It even increases with q. On the
Elbeck [68] who found that the volatility of Bitcoin is driven
other hand, other currencies experience a decrease in asymmetry,
largely by buyers and sellers, not the price of currencies them-
with the EUR turning its direction.
selves making the instrument highly speculative. Our work ex-
Finally, the log-log plots of F2 (n), F2+ (n ) and F2− (n ) versus n
tended these findings to include the multifractal identification.
(Fig. 15) with Table 4 show that there is a clear difference in the • The current work focuses solely on Bitcoin and may not be gen-
behavior of Bitcoin with respect to the DJIA than that of traditional
eralizable to all cryptocurrencies. In fact, further work should
currencies with respect to the DJIA. This difference consist in an nil
be conduct on the major currencies such as Ethereum, Ripple,
asymmetry degree. EUR and GBP also show a small asymmetry de-
and Litecoin to name a few. As acceptance and usage of cryp-
gree, and YEN shows a clear asymmetry.
tocurrency increases, how it performs and moves relative to
other assets will likely change. Therefore, we suspect, the mod-
5. Conclusions
els by which we understand the asset are likely to change as
well.
The study presented consists on the first application of MF-
ADCCA between Bitcoin and WTI, GOLD and DJIA. And the com-
Acknowledgments
parison in this behavior with other currencies. Our study resulted
in the following findings:
The authors would like to thank the support from Robert Morris
• Multifractality exists in every cross-correlation studied, and University through the Rooney International Visiting Scholar Pro-
there is asymmetry in the cross-correlation exponents under gram. Also, the authors would like to thank the anonymous re-
different trend of the WTI, Gold and DJIA. This asymmetry can viewers for their helpful comments and suggestions which greatly
appear across fluctuations sizes or only for small or large fluc- improved the paper.
tuations.
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