DCCA and DMCA correlations of cryptocurrency markets

【Author】 Ferreira, Paulo; Kristoufek, Ladislav; de Area Leao Pereira, Eder Johnson

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】We examine the serial correlation structure of six liquid cryptocurrencies with a long data record - Bitcoin, DASH, Stellar, Litecoin, Monero, and Ripple - with a use of the detrended cross-correlation (DCCA) and detrending moving-average cross-correlation (DMCA) correlation coefficients. We find that these cryptocurrencies behave differently from the stock markets which are much closer to the random walk (efficient) dynamics. We further discuss issues connected to strong statements about cryptocurrency markets practical inefficiency. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Cryptocurrency; Bitcoin; Correlations; Detrended cross-correlation analysis; Detrending moving-average cross-correlation analysis; Efficiency

【发表时间】2020 1-May

【收录时间】2022-01-02

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