DCCA and DMCA correlations of cryptocurrency markets

Paulo Ferreira, Ladislav Krištoufek () and Eder Johnson de Area Pereira

Physica A: Statistical Mechanics and its Applications, 2020, vol. 545, issue C

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.

Keywords: Cryptocurrency; Bitcoin; Correlations; Detrended cross-correlation analysis; Detrending moving-average cross-correlation analysis; Efficiency (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321168

DOI: 10.1016/j.physa.2019.123803

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