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Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak

This article investigates the dynamical complexity and fractal characteristics changes of the Bitcoin/US dollar (BTC/USD) and Euro/US dollar (EUR/USD) returns in the period before and after the outbreak of the COVID-19 pandemic. More specifically, we applied the asymmetric multifractal detrended flu...

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Autores principales: Zitis, Pavlos I., Kakinaka, Shinji, Umeno, Ken, Hanias, Michael P., Stavrinides, Stavros G., Potirakis, Stelios M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9955772/
https://www.ncbi.nlm.nih.gov/pubmed/36832580
http://dx.doi.org/10.3390/e25020214
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author Zitis, Pavlos I.
Kakinaka, Shinji
Umeno, Ken
Hanias, Michael P.
Stavrinides, Stavros G.
Potirakis, Stelios M.
author_facet Zitis, Pavlos I.
Kakinaka, Shinji
Umeno, Ken
Hanias, Michael P.
Stavrinides, Stavros G.
Potirakis, Stelios M.
author_sort Zitis, Pavlos I.
collection PubMed
description This article investigates the dynamical complexity and fractal characteristics changes of the Bitcoin/US dollar (BTC/USD) and Euro/US dollar (EUR/USD) returns in the period before and after the outbreak of the COVID-19 pandemic. More specifically, we applied the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method to investigate the temporal evolution of the asymmetric multifractal spectrum parameters. In addition, we examined the temporal evolution of Fuzzy entropy, non-extensive Tsallis entropy, Shannon entropy, and Fisher information. Our research was motivated to contribute to the comprehension of the pandemic’s impact and the possible changes it caused in two currencies that play a key role in the modern financial system. Our results revealed that for the overall trend both before and after the outbreak of the pandemic, the BTC/USD returns exhibited persistent behavior while the EUR/USD returns exhibited anti-persistent behavior. Additionally, after the outbreak of COVID-19, there was an increase in the degree of multifractality, a dominance of large fluctuations, as well as a sharp decrease of the complexity (i.e., increase of the order and information content and decrease of randomness) of both BTC/USD and EUR/USD returns. The World Health Organization ([Formula: see text]) announcement, in which COVID-19 was declared a global pandemic, appears to have had a significant impact on the sudden change in complexity. Our findings can help both investors and risk managers, as well as policymakers, to formulate a comprehensive response to the occurrence of such external events.
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spelling pubmed-99557722023-02-25 Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak Zitis, Pavlos I. Kakinaka, Shinji Umeno, Ken Hanias, Michael P. Stavrinides, Stavros G. Potirakis, Stelios M. Entropy (Basel) Article This article investigates the dynamical complexity and fractal characteristics changes of the Bitcoin/US dollar (BTC/USD) and Euro/US dollar (EUR/USD) returns in the period before and after the outbreak of the COVID-19 pandemic. More specifically, we applied the asymmetric multifractal detrended fluctuation analysis (A-MF-DFA) method to investigate the temporal evolution of the asymmetric multifractal spectrum parameters. In addition, we examined the temporal evolution of Fuzzy entropy, non-extensive Tsallis entropy, Shannon entropy, and Fisher information. Our research was motivated to contribute to the comprehension of the pandemic’s impact and the possible changes it caused in two currencies that play a key role in the modern financial system. Our results revealed that for the overall trend both before and after the outbreak of the pandemic, the BTC/USD returns exhibited persistent behavior while the EUR/USD returns exhibited anti-persistent behavior. Additionally, after the outbreak of COVID-19, there was an increase in the degree of multifractality, a dominance of large fluctuations, as well as a sharp decrease of the complexity (i.e., increase of the order and information content and decrease of randomness) of both BTC/USD and EUR/USD returns. The World Health Organization ([Formula: see text]) announcement, in which COVID-19 was declared a global pandemic, appears to have had a significant impact on the sudden change in complexity. Our findings can help both investors and risk managers, as well as policymakers, to formulate a comprehensive response to the occurrence of such external events. MDPI 2023-01-22 /pmc/articles/PMC9955772/ /pubmed/36832580 http://dx.doi.org/10.3390/e25020214 Text en © 2023 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Zitis, Pavlos I.
Kakinaka, Shinji
Umeno, Ken
Hanias, Michael P.
Stavrinides, Stavros G.
Potirakis, Stelios M.
Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title_full Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title_fullStr Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title_full_unstemmed Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title_short Investigating Dynamical Complexity and Fractal Characteristics of Bitcoin/US Dollar and Euro/US Dollar Exchange Rates around the COVID-19 Outbreak
title_sort investigating dynamical complexity and fractal characteristics of bitcoin/us dollar and euro/us dollar exchange rates around the covid-19 outbreak
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9955772/
https://www.ncbi.nlm.nih.gov/pubmed/36832580
http://dx.doi.org/10.3390/e25020214
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