Lahmiri, Salim and Bekiros, Stelios,(2019), Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering. , Chaos, Solitons and Fractals Nonlinear Science, and Nonequilibrium and Complex Phenomena, UNSPECIFIED
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Abstract
The
multi-fractal
chaotic
dynamics
of
Islamic
and
Green
crypto-currency
series
are
investigated
for
the
first
time
in
econophysics
literature.
Specifically,
we
decompose
and
analyse
the
temporal
signals
of
prices,
returns,
volume
and
volatility
of
Islamic
and
Green
cryptos
vis-à-vis
conventional
ones
in
a
com
parative
manner.
We
introduce
a
multi-step
resolution
approach
based
on
detrended
fluctuation
analysis,
Generalized
Hurst
and
Lyapunov
exponents
as
well
as
fractionally
integrated
conditional
heteroskedastic
ity.
Moreover,
various
tests
are
employed
to
investigate
the
statistical
significance
of
any
(dis)similarities
of
long
memory
patterns,
multi-fractality
measures
and
chaotic
dynamics
observed
among
Islamic,
Green
and
conventional
crypto-currency
markets.
Our
findings
suggest
that
while
the
returns
of
Islamic
and
green
crypto-currencies
exhibit
anti-persistent
dynamics,
their
price,
volatility
and
volume
series
embed
high
persistence
compared
to
the
conventional
crypto-currencies.
Further
statistical
testing
indicates
that
the
distributions
of
the
chaotic
parameter
estimates
are
significantly
different
versus
common
crypto
currencies,
a
fact
that
reveals
heterogeneity
in
multi-fractality
and
long
memory
patterns.
As
the
Islamic
and
Green
cryptos
exhibit
a
distinct
and
more
profound
chaotic
behaviour
compared
to
conventional
ones,
their
short-term
predictability
could
further
induce
financial
agents.
Keywords : | Islamic cryptocurrencies Green cryptocurrencies Long-memory Chaos Nonlinear filtering, UNSPECIFIED |
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Journal or Publication Title: | Chaos, Solitons and Fractals Nonlinear Science, and Nonequilibrium and Complex Phenomena |
Volume: | UNSPECIFIED |
Number: | 127 |
Item Type: | Article |
Subjects: | Ekonomi Islam |
Depositing User: | Nila Nurjanah |
Date Deposited: | 13 Dec 2019 08:07 |
Last Modified: | 13 Dec 2019 08:07 |
URI: | https://repofeb.undip.ac.id/id/eprint/93 |