Detail publikace

Ferreira, P. & Kristoufek, L. & Pereira, E.: DCCA and DMCA correlations of cryptocurrency markets

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Ferreira, P.; Pereira, E.
Typ: Články v impaktovaných časopisech
Rok: 2020
Číslo: 0
ISSN / ISBN:
Publikováno v: Physica A: Statistical Mechanics and Its Applications 545:123803 PDF
Místo vydání:
Klíčová slova: cryptocurrency; Bitcoin; correlations; detrended cross-correlation analysis; detrending moving-average cross-correlation analysis; efficiency
JEL kódy:
Citace:
Granty: PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
Abstrakt: 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.

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