比特币的市场有效性、流动性和多重分形：一项动态研究
Market efficiency, liquidity, and multifractality of Bitcoin: A dynamic study
摘要：
这封信研究了比特币的市场有效性、流动性和多重分形之间的动态关系。我们发现，2013年之前，比特币的流动性较低，赫斯特指数小于0.5，表明比特币的时间序列具有反持续性。2013年以后，随着流动性的增加，赫斯特指数上升到0.5左右，提高了市场有效性。然而，对于几个时期，发现赫斯特指数显著小于0.5，使得这些时期的时间序列具有反持续性。我们还利用广义赫斯特指数研究了比特币时间序列的多重分形度，发现多重分形度与市场有效性呈非线性关系。
英文摘要：
This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time series is anti-persistent. After 2013, as liquidity increased, the Hurst exponent rose to approximately 0.5, improving market efficiency. For several periods, however, the Hurst exponent was found to be significantly less than 0.5, making the time series anti-persistent during those periods. We also investigate the multifractal degree of the Bitcoin time series using the generalized Hurst exponent and find that the multifractal degree is related to market efficiency in a non-linear manner.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
