Persistence in the cryptocurrency market

【Author】 Caporale, Guglielmo Maria; Gil-Alana, Luis; Plastun, Alex

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market.

【Keywords】Crypto currency; BitCoin; Persistence; Long memory; R/S analysis; Fractional integration

【发表时间】2018 DEC

【收录时间】2022-01-02

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