ABSTRACT
We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there exists heavy tails for all the returns of cryptocurrencies; (2) the autocorrelations for returns decay quickly, while the autocorrelations for absolute returns decay slowly; (3) returns of cryptocurrencies display strong volatility clustering and leverage effects; (4) Hurst exponent for volatility is more volatile than that of the returns, while they all suggest the long-range dependence phenomena; and (5) there exists power-law correlation between price and volume.
Acknowledgements
We thank two anonymous referees for useful suggestions that helped us improve the paper substantially. Any errors are ours. This work is supported by the National Natural Science Foundation of China (71701150, 71790594 and71532009), Young Elite Scientists Sponsorship Program by Tianjin (TJSQNTJ-2017-09) and Fundamental Research Funds for the Central Universities (63182064).
Disclosure statement
No potential conflict of interest was reported by the authors.