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http://bura.brunel.ac.uk/handle/2438/15740| Title: | Persistence in the cryptocurrency market |
| Authors: | Caporale, GM Gil-Alana, L Plastun, A |
| Issue Date: | 2017 |
| Citation: | Research in International Business and Finance, 2018 |
| Abstract: | This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate that this market exhibits persistence (there is a positive correlation between its past and future values), and that its degree changes over time. Such predictability represents evidence of market inefficiency: trend trading strategies can be used to generate abnormal profits in the cryptocurrency market. |
| URI: | http://bura.brunel.ac.uk/handle/2438/15740 |
| DOI: | https://doi.org/10.1016/j.ribaf.2018.01.002 |
| ISSN: | 0275-5319 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | 730 kB | Adobe PDF | View/Open |
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