Počet záznamů: 1
DCCA and DMCA correlations of cryptocurrency markets
- 1.0522062 - ÚTIA 2021 RIV NL eng J - Článek v odborném periodiku
Ferreira, P. - Krištoufek, Ladislav - Pereira, E. J. D. A. L.
DCCA and DMCA correlations of cryptocurrency markets.
Physica. A : Statistical Mechanics and its Applications. Roč. 545, č. 1 (2020), č. článku 123803. ISSN 0378-4371. E-ISSN 1873-2119
Grant CEP: GA ČR(CZ) GJ17-12386Y
Institucionální podpora: RVO:67985556
Klíčová slova: Cryptocurrency * Bitcoin * Correlations * Detrended cross-correlation analysis * Detrending moving-average cross-correlation analysis * Efficiency
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 3.263, rok: 2020
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2020/E/kristoufek-0522062.pdf https://www.sciencedirect.com/science/article/pii/S0378437119321168
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.
Trvalý link: http://hdl.handle.net/11104/0307301
Počet záznamů: 1