Directional Movement Distribution in the Bitcoin Markets

【Author】 Szetela, Beata; Mentel, Grzegorz; Mentel, Urszula; Bilan, Yuriy

【Source】INZINERINE EKONOMIKA-ENGINEERING ECONOMICS

【影响因子】1.830

【Abstract】The crypto exchanges operate primarily on the internet, where the speed of information spreading is significant. Therefore, it is expected that there should be no significant differences among the individual exchanges concerning the same asset being traded. Prices should quickly reach comparable values on all stock exchanges, and they should return to equilibrium in a relative time frame. Hence, the investors, while making decisions on the selection of a cryptocurrency market, should be guided primarily by the exchange security considerations, its flexibility, availability of a product offer, and costs of order processing. The work aims to check whether virtual currency exchanges differ from each other in the context of directional movement, both in an upward and downward trend. To achieve the objective of the paper, we used Directional Movement Index, supported by the Directional Indicators, to compare the distribution of the strength of the directional movement across three different cryptocurrency exchanges (Bitstamp, Coinbase, Kraken) within the up and the downward price movement phase. The comparison is made based on the results of the non-paramefrical tests such as Wilcoxon test, Hodges Lehmann test, Ansari-Bradley test, and Conover test. The results show that theoretically, the choice of a cryptocurrency exchange in an upward frend will cause no significant difference for an investor and its strategy. However, the choice of a stock exchange in a downward frend may have a substantial impact on the rates of return.

【Keywords】Volatility; Bitcoin; Directional Movement; DMI; ADX; Distribution

【发表时间】2020

【收录时间】2022-01-02

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