Stability Analysis of Bitcoin using Recurrence Quantification Analysis

Baki ÜNAL

doi:https://doi.org/10.51537/chaos.1112188

Makale detayları

Stability Analysis of Bitcoin using Recurrence Quantification Analysis

Yazarlar:

Baki ÜNAL

Yayıncı:

Akif AKGÜL

Ana Başlıklar:

Ekonomi ve Maliye | Genel yönetim

Dergi:

Chaos Theory and Applications 2022 Vol.4 Issue 2, pp.104-110

Belge Tipi:

Makale

Yayın Tarihi:

7/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000906110

Sıklık:

Üç Yıllık

eISSN:

2687-4539

DOI:

https://doi.org/10.51537/chaos.1112188

Özet:

 

Cryptocurrencies are new kinds of electronic currencies based on communication technologies. These currencies have attracted the attention of investors. However, cryptocurrencies are very volatile and unpredictable. For investors, it is very difficult to make investment decisions in cryptocurrency market. Therefore, revealing changes in the dynamics of cryptocurrencies are valuable for investors. Bitcoin is the most popular and representative cryptocurrency in cryptocurrency market. In this study how dynamical properties of Bitcoin changed through time is analyzed with recurrence quantification analysis (RQA). RQA is a pattern recognition-based time series analysis method that reveals dynamics of the time series by calculating some metrics called RQA measures. This method has been successfully applied to nonlinear, nonstationary, short and chaotic time series and does not assume a statistical model. RQA can reveal important properties of time series data such as determinism, laminarity, stability, randomness, regularity and complexity. By using sliding window RQA we show that in 2021 RQA measures for Bitcoin prices collapse and Bitcoin becomes more unpredictable, more random, more unstable, more irregular and less complex. Therefore, dynamics and stability of the Bitcoin prices significantly changed in 2021.

Makale detayları

Stability Analysis of Bitcoin using Recurrence Quantification Analysis

Yazarlar: Baki ÜNAL

Yayıncı: Akif AKGÜL

Ana Başlıklar: Ekonomi ve Maliye | Genel yönetim

Dergi: Chaos Theory and Applications 2022 Vol.4 Issue 2, pp.104-110

Belge Tipi: Makale

Yayın Tarihi: 7/2022

Belge Dili: İngilizce

Document ID (Org No.): 2000906110

Sıklık: Üç Yıllık

eISSN: 2687-4539

DOI: https://doi.org/10.51537/chaos.1112188

Sayı

Yazarlar:

Baki ÜNAL

Yayıncı:

Akif AKGÜL

Ana Başlıklar:

Ekonomi ve Maliye | Genel yönetim

Dergi:

Chaos Theory and Applications 2022 Vol.4 Issue 2, pp.104-110

Belge Tipi:

Makale

Yayın Tarihi:

7/2022

Belge Dili:

İngilizce

Document ID (Org No.):

2000906110

Sıklık:

Üç Yıllık

eISSN:

2687-4539

DOI:

https://doi.org/10.51537/chaos.1112188