Decomposing the persistence structure of Islamic and green crypto-currencies with nonlinear stepwise filtering

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
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

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