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Persistence in the cryptocurrency market

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Bibliographic Details
Authors and Corporations: Caporale, Guglielmo Maria (Author), Gil-Alaña, Luis A. (Author), Plastun, Alex (Author)
Other Authors: Gil-Alaña, Luis A. [Author] • Plastun, Alex [Author]
Type of Resource: E-Book
Language: English
published:
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 1703
Subjects:
Crypto currency
BitCoin
persistence
long memory
R/S analysis
fractional integration
Arbeitspapier
Graue Literatur
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: This paper examines persistence in the cryptocurrency market. Two different longmemory 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.
Physical Description: 1 Online-Ressource (circa 19 Seiten); Illustrationen