| Author(s): |
prof. PhDr. Ladislav Krištoufek Ph.D., Ferreira, P.; Pereira, E.
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| Type: |
Articles in journals with impact factor |
| Year: |
2020 |
| Number: |
0 |
| ISSN / ISBN: |
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| Published in: |
Physica A: Statistical Mechanics and Its Applications 545:123803 PDF |
| Publishing place: |
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| Keywords: |
cryptocurrency; Bitcoin; correlations; detrended cross-correlation analysis; detrending moving-average cross-correlation analysis; efficiency |
| JEL codes: |
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| Suggested Citation: |
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| Grants: |
PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream
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| 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. |
