Testing for Sequences and Reversals on Bitcoin Series

Prodromos Tsinaslanidis () and Francisco Guijarro ()
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Prodromos Tsinaslanidis: University of Western Macedonia
Francisco Guijarro: Universitat Politècnica de València

Chapter Chapter 19 in Advances in Empirical Economic Research, 2023, pp 317-326 from Springer

Abstract: Abstract A statistical assessment of the sequences and reversals is being carried out on the daily prices of the Bitcoin (BTC-USD) price series and the closing prices of the S&P 500. In particular, it is examined whether the ratio of sequences to reversals differs significantly from what would be expected from a random walk model with the same probability of positive returns. The analysis has been conducted on different subperiods and on a rolling basis. Overall, our results provide little evidence against the random walk hypothesis, with significant cases occurring rarely. However, when the latter occurs, our results imply reversals to be more likely than sequences.

Keywords: Bitcoin; Sequences and reversals; Random walk (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-031-22749-3_19

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DOI: 10.1007/978-3-031-22749-3_19

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