Intraday efficiency-frequency nexus in the cryptocurrency markets

【Author】 Aslan, Aylin; Sensoy, Ahmet

【Source】FINANCE RESEARCH LETTERS

【影响因子】9.848

【Abstract】This study investigates the nexus between weak-form efficiency and intraday sampling frequency for the highest capitalized cryptocurrencies. Applying a battery of long memory tests, we provide evidence of major discrepancies on the predictability of cryptocurrency returns for alternative high frequency intervals. Accordingly, efficiency demonstrates a U-shaped pattern with respect to alternative sampling frequencies, hence there exists an optimal intraday sampling frequency that maximizes the market efficiency. These findings have important implications for portfolio analysis, risk management, regulations and administrative rulings in the cryptocurrency markets.

【Keywords】Efficient Market Hypothesis (EMH); Cryptocurrencies; Hurst exponent; Algorithmic trading; High-frequency trading

【发表时间】2020 JUL

【收录时间】2022-01-02

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