摘要
Since Bitcoin came into the world,modelling and analyzing the underlying characteristics of Bitcoin has attracted increasing attention.This paper uses a framework including decomposition,reconstruction and extraction method(DRE)to analyze price fluctuations based on ultra-high-frequency data from Dec.1,2019,to Nov.30,2021.First,the ensemble mode decomposition(EMD)is employed to decompose the Bitcoin hourly spot price into 13 intrinsic mode functions(IMF)plus a residual.Second,the IMFs are reconstructed into high-frequency components,low-frequency components and a trend based on fine-to-coarse reconstruction.Furthermore,the intraday volatility analysis based on LM test is applied on 15-minutes frequency data to detect discontinuous jump arrivals and extract jump from realized quadratic variation.Empirical results show that three components of reconstruction can be identified as short term fluctuations process caused by microstructure noise,the shocks affected by major events,and a long-term trend based on inelastic supply and rigid demand.We find that approximately 40%of jumps can be matched with the news from the public news database(Factiva),and the jump sizes are larger than that of stock markets.This finding indicates that the Bitcoin market has more irregularly noise and unforeseen shocks from unscheduled events.
基金
Supported by the National Natural Science Foundation of China(72073126,71988101,72091212)
Young Elite Scientists Sponsorship Program by CAST(YESS20200072)。
