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Persistence in the Cryptocurrency Market

Guglielmo Maria Caporale, Luis Gil-Alana () and Alex Plastun ()

No 6811, CESifo Working Paper Series from CESifo Group Munich

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.

Keywords: crypto currency; BitCoin; persistence; long memory; R/S analysis; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pay
Date: 2017
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Journal Article: Persistence in the cryptocurrency market (2018) Downloads
Working Paper: Persistence in the Cryptocurrency Market (2017) Downloads
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