Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin |
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| Institution: | 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China;2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;3. Center for Forecasting Science, Chinese Academy of Sciences, Beijing, China;1. Department of Digital Economy, Shanghai University of Finance and Economics, No 777 Guoding Road, Shanghai 200433, China;2. School of Information Management & Engineering, Shanghai University of Finance and Economics, No 777 Guoding Road, Shanghai 200433, China;3. Faculty of Business information, Shanghai Business School, No 123 Fengpu Avenue, Shanghai 201400, China;1. College of Finance, Nanjing Agricultural University, Nanjing 210095, China;2. School of Advanced Agricultural Sciences, Peking University, Beijing 100871, China;3. Business School, Hohai University, Nanjing 211100, China;1. University of the Aegean, Department of Business Administration, Greece;2. University of Piraeus, Department of Maritime Studies, 21 Lampraki & Distomou Str., 851833 Piraeus, Greece |
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| Abstract: | This paper proposes a novel two-stage VMD-based multi-scale regression to analyze various cryptocurrency attributes that are still unclear in the existing literature. In the first stage, Variational Mode Decomposition (VMD) is used to decompose the cryptocurrency prices into low, medium and high frequency modes with different attributes. In the second stage, the VMD-based multi-scale regression is proposed for these modes with selected explanatory variables. Using the proposed framework, we focus on analyzing the multiple attributes of daily Bitcoin price data as a case study. Empirical results indicate that the low-frequency mode has specific currency or long-term investment characteristics, unlike the short/medium-term investment attributes for the medium-frequency mode, while the high-frequency mode represents some speculation. Some events merely affect a single frequency mode, but others impact all frequency modes. The results of events analysis based on VMD could enhance the identification of the multiple attributes of Bitcoin. Our findings are insightful for future regulation and management of virtual currencies. |
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