On Bitcoin markets (in)efficiency and its evolution

【Author】 Kristoufek, Ladislav

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】We study efficiency of two Bitcoin markets (with respect to the US dollar and Chinese yuan) and its evolution in time. As inefficiency can manifest through various channels, we utilize the Efficiency Index of Kristoufek & Vosvrda (2013) which can cover different types of (in)efficiency measures. We find strong evidence of both Bitcoin markets remaining mostly inefficient between 2010 and 2017 with exceptions of several periods directly connected to cooling down after the bubble-like price surges. (C) 2018 Elsevier B.V. All rights reserved.

【Keywords】Bitcoin; Efficient market hypothesis; Efficiency index; Long-range dependence; Fractal dimension; Entropy

【发表时间】2018 AUG 1

【收录时间】2022-01-02

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