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DCCA and DMCA correlations of cryptocurrency markets
- 1.0522062 - ÚTIA 2021 RIV NL eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GJ17-12386Y
Institutional support: RVO:67985556
Keywords : Cryptocurrency * Bitcoin * Correlations * Detrended cross-correlation analysis * Detrending moving-average cross-correlation analysis * Efficiency
OECD category: Applied Economics, Econometrics
Impact factor: 3.263, year: 2020
Method of publishing: Limited access
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.
Permanent Link: http://hdl.handle.net/11104/0307301
Number of the records: 1