A1412
Title: Stylised facts of the cryptocurrency market
Authors: Nursultan Abdullaev - Innopolis University and Centre for Econometrics and Business Analytics SPbSU (Russia) [presenting]
Rustam Ibragimov - Imperial College Business School, CEBA and New Economic School (United Kingdom)
Abstract: A detailed statistical and econometric analysis of cryptocurrency markets' main stylised facts. The study focuses on three key properties of cryptocurrency price and return time series: (i) heavy tails, indicating, in particular, that large price/return downfalls and fluctuations are more common than might be expected under a normal distribution; (ii) absence of autocorrelations, implying that return time series are to some extent are unpredictable and do not exhibit linear dependence over time; and (iii) volatility clustering, where periods of high volatility tend to be followed by similar periods and likewise for low volatility, implying nonlinear dependence in return time series. The presence of and inference on these stylised facts provide crucial insights for econometric modelling of the cryptocurrency market and have important implications for market participants, risk management, and policy formulation.
