A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets

被引：71

作者：

Kyriazis, Nikolaos A. ^{[1
]}

机构：

[1] Univ Thessaly, Dept Econ, Lab Econ Policy & Strateg Planning, 28th October 78 St, Volos 38333, Greece

来源：

JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2019年 / 12卷 / 02期

关键词：

survey; bitcoin; cryptocurrency; efficient market hypothesis; LONG-RANGE DEPENDENCE; TIME-SERIES; CROSS-CORRELATION; BITCOIN MARKET; PRICE DELAY; TERM-MEMORY; UNIT-ROOT; VOLATILITY; INEFFICIENCY; HYPOTHESIS;

D O I：

10.3390/jrfm12020067

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well as other relevant methodologies of testing long memory in returns and volatility. It is found that the majority of academic papers provides evidence for inefficiency of Bitcoin and other digital currencies of primary importance. Nevertheless, large steps towards efficiency in cryptocurrencies have been traced during the last years. This can lead to less profitable trading strategies for speculators.

引用

页数：17

共 114 条

[1] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices [J].