Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The leverage effect and other stylized facts displayed by Bitcoin
  returns   In this paper, we explore some stylized facts of the Bitcoin market using the
BTC-USD exchange rate time series of historical intraday data from 2013 to
2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of
macroeconomic fundamentals or connections with underlying assets or benchmarks,
an asymmetry between demand and supply and the presence of inefficiency in the
form of strong arbitrage opportunity. Nevertheless, all these elements seem to
be marginal in the definition of the structural statistical properties of this
virtual financial asset, which result to be analogous to general individual
stocks or indices. In contrast, we find some clear differences, compared to
fiat money exchange rates time series, in the values of the linear
autocorrelation and, more surprisingly, in the presence of the leverage effect.
We also explore the dynamics of correlations, monitoring the shifts in the
evolution of the Bitcoin market. This analysis is able to distinguish between
two different regimes: a stochastic process with weaker memory signatures and
closer to Gaussianity between the Mt. Gox incident and the late 2015, and a
dynamics with relevant correlations and strong deviations from Gaussianity
before and after this interval.

30
The categories of this paper are: q-alg
1
The categories of this paper are: cs
21
The categories of this paper are: adap-org
14
The categories of this paper are: math-ph
23
The categories of this paper are: solv-int
36
The categories of this paper are: cmp-lg
12
The categories of this paper are: nucl-th
8
The categories of this paper are: hep-ex
7
The categories of this paper are: hep-th
15
The categories of this paper are: nucl-ex
18
The categories of this paper are: econ
13
The categories of this paper are: quant-ph
20
The categories of this paper are: acc-phys
27
The categories of this paper are: comp-gas
11
The categories of this paper are: hep-lat
2
The categories of this paper are: math