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DCCA and DMCA correlations of cryptocurrency markets
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SYSNO ASEP 0522062 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title DCCA and DMCA correlations of cryptocurrency markets Author(s) Ferreira, P. (PT)
Krištoufek, Ladislav (UTIA-B) RID, ORCID
Pereira, E. J. D. A. L. (BR)Number of authors 3 Article number 123803 Source Title Physica. A : Statistical Mechanics and its Applications. - : Elsevier - ISSN 0378-4371
Roč. 545, č. 1 (2020)Number of pages 8 s. Publication form Print - P Language eng - English Country NL - Netherlands Keywords Cryptocurrency ; Bitcoin ; Correlations ; Detrended cross-correlation analysis ; Detrending moving-average cross-correlation analysis ; Efficiency Subject RIV AH - Economics OECD category Applied Economics, Econometrics R&D Projects GJ17-12386Y GA ČR - Czech Science Foundation (CSF) Method of publishing Limited access Institutional support UTIA-B - RVO:67985556 UT WOS 000526845600043 EID SCOPUS 85077686384 DOI 10.1016/j.physa.2019.123803 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2021 Electronic address https://www.sciencedirect.com/science/article/pii/S0378437119321168
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