Persistence in the Cryptocurrency Market

Guglielmo Maria Caporale, Luis Gil-Alana and Alex Plastun

No 6811, CESifo Working Paper Series from CESifo

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)
Date: 2017
New Economics Papers: this item is included in nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Persistence in the cryptocurrency market (2018)
Working Paper: Persistence in the Cryptocurrency Market (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_6811

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