# Signatures of crypto-currency market decoupling from the Forex

## TL;DR

This study analyzes high-frequency data from Kraken to compare the multiscale cross-correlations of cryptocurrency and Forex markets, revealing signs of decoupling and maturation of crypto markets towards traditional financial behaviors.

## Contribution

It provides empirical evidence that cryptocurrency markets are increasingly exhibiting characteristics of mature financial markets and are decoupling from Forex correlations.

## Key findings

- Cryptocurrency exchange rates show multiscaling characteristics similar to Forex.
- The Hurst exponent of BTC/ETH approaches 0.5, indicating market maturity.
- Cross-correlations between crypto and Forex exchange rates are negligible, suggesting decoupling.

## Abstract

Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between July 1, 2016 and December 31, 2018. It is shown that the multiscaling characteristics of the exchange rate fluctuations related to the cryptocurrency market approach those of the Forex. This, in particular, applies to the BTC/ETH exchange rate, whose Hurst exponent by the end of 2018 started approaching the value of 0.5, which is characteristic of the mature world markets. Furthermore, the BTC/ETH direct exchange rate has already developed multifractality, which manifests itself via broad singularity spectra. A particularly significant result is that the measures applied for detecting cross-correlations between the dynamics of the BTC/ETH and EUR/USD exchange rates do not show any noticeable relationships. This may be taken as an indication that the cryptocurrency market has begun decoupling itself from the Forex.