TIME-SERIES PRICE STUDY OF CRYPTOCURRENCY: FRACTAL DIMENSIONS AND INTERPOLATION FUNCTIONS

Abstract

This research primarily focuses on the volatility of cryptocurrency prices. In this study, the top five cryptocurrencies based on their market capitalization and data for the financial year 2022–2023 are considered for analysis via fractal dimensions and fractal functions, well-known tools in the subject of Fractal Geometry for measuring and modeling irregular and non-smooth phenomena. By integrating abnormal return with the capital asset pricing model, we ascertain the response of the acquiring cryptocurrency’s price. The study finds that BTC has consistency in its fluctuations, TETH has shown greater volatility over time, and ETH has shown some consistency; at [Formula: see text], XRP is riskier than the others. While BNB is easily predictable at [Formula: see text], it does not fluctuate in a systematic manner at [Formula: see text]. AAR indicates a short-term profit, while CAAR is decreasing, suggesting a long-term lack of profit. These reasons stem from investors’ increased expectations of specific strongholds in the cryptocurrency market, as well as increased investment.