Analysis of the relationship between bitcoin, oil prices, and the Dow Jones Industrial Average using a wavelet-based approach

Linxuan Li; Zheng Tao

doi:10.1117/12.2659982

3 February 2023 Analysis of the relationship between bitcoin, oil prices, and the Dow Jones Industrial Average using a wavelet-based approach

Linxuan Li, Zheng Tao

Author Affiliations +

Proceedings Volume 12511, Third International Conference on Computer Vision and Data Mining (ICCVDM 2022); 125110F (2023) https://doi.org/10.1117/12.2659982
Event: Third International Conference on Computer Vision and Data Mining (ICCVDM 2022), 2022, Hulun Buir, China

Abstract

This paper analyzes the correlation between bitcoin, oil price fluctuations and the DOW Jones Industrial Index in the time-frequency framework. Coherent wavelet method applied to recent daily data in the United States (1863 in total). Our research has several implications and supports for policy makers and asset managers. We find that oil prices lead the U.S. market at both low and high frequencies throughout the observation period. This result suggests that sanctions against Russia by a number of countries, including the U.S., are influencing oil prices, while oil remains a major source of systemic risk to the U.S. economy and economic uncertainty between the international level is exacerbated by tensions between Russia and Ukraine.

Citation Download Citation

Linxuan Li and Zheng Tao "Analysis of the relationship between bitcoin, oil prices, and the Dow Jones Industrial Average using a wavelet-based approach", Proc. SPIE 12511, Third International Conference on Computer Vision and Data Mining (ICCVDM 2022), 125110F (3 February 2023); https://doi.org/10.1117/12.2659982

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