Time Dependent_Hurst Exponents_Top Five Crypto_2018-2023

Published: 10 April 2024| Version 1 | DOI: 10.17632/mxncsns9cz.1
Contributor:
Huy Bui

Description

This data file contains 243 weekly Hurst Exponents of top five crypto market (BTC, ETH, BNB, XRP, ADA) from 01 October 2018 to 20 March 2023. The Hurst exponent (H), derived from the above equation, reveals long-range correlations: H=0.5 denotes random walk or independence of steps from past values, H>0.5 signifies long-range persistence or trend continuation, while H<0.5 indicates long-range anti-persistence or trend reversals.

Files

Steps to reproduce

This data file is generated from the DFA analysis combing of sliding window techniques with the window size of 365 days and 7 days of window step. We apply these methods on the dataset "Top Five Crypto Closing Price_2017-2023" (cited below).

Institutions

Taylor's University Taylor's Business School

Categories

Finance, Long-Range Order, Cryptocurrency, Digital Finance

Related Links

Dataset
https://data.mendeley.com/datasets/2rz5fw8nc3/1
is source of this dataset

Licence