Day of the week effect on the cryptomarket: A high-frequency asymmetric multifractal analysis

IF 2.8 3区物理与天体物理 Q2 PHYSICS, MULTIDISCIPLINARY

Physica A: Statistical Mechanics and its Applications Pub Date : 2025-01-15 DOI:10.1016/j.physa.2024.130306

Werner Kristjanpoller , Benjamin Miranda Tabak

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引用次数: 0

Abstract

This article analyzes the calendar anomaly of the day of the week effect in the cryptocurrency market. Financial markets thrive on open marketplaces, faster communication and more information, making them more efficient. Higher efficiency would result in the disappearance of these calendar anomalies. We contribute by employing a novel asymmetric multifractal analysis of high-frequency returns during trading hours. Our findings revealed significant differences in the multifractal behavior of the hourly returns of the five leading cryptocurrencies. In particular, we observe a higher degree of multifractality on Thursdays. The Hurst exponent also showed statistically different values for the days of the week. Four of the five cryptocurrencies showed persistent behavior on Fridays and anti-persistent behavior on Tuesdays and Saturdays. These patterns offer potential for traders and investors to exploit, underscoring the practical value of this research.

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来源期刊

Physica A: Statistical Mechanics and its Applications 物理-物理：综合

CiteScore

7.20

自引率

9.10%

发文量

852

审稿时长

6.6 months

期刊介绍： Physica A: Statistical Mechanics and its Applications Recognized by the European Physical Society Physica A publishes research in the field of statistical mechanics and its applications. Statistical mechanics sets out to explain the behaviour of macroscopic systems by studying the statistical properties of their microscopic constituents. Applications of the techniques of statistical mechanics are widespread, and include: applications to physical systems such as solids, liquids and gases; applications to chemical and biological systems (colloids, interfaces, complex fluids, polymers and biopolymers, cell physics); and other interdisciplinary applications to for instance biological, economical and sociological systems.