Detail publikace

Kristoufek, L.: On Bitcoin markets (in)efficiency and its evolution

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2018
Číslo: 0
ISSN / ISBN:
Publikováno v: Physica A: Statistical Mechanics and Its Applications 503, pp. 257-262 PDF
Místo vydání:
Klíčová slova: Bitcoin, efficient market hypothesis, efficiency index, long-range dependence, fractal dimension, entropy
JEL kódy:
Citace:
Abstrakt: We study efficiency of two Bitcoin markets (with respect to the US dollar and Chinese yuan) and its evolution in time. As inefficiency can manifest through various channels, we utilize the Efficiency Index of Kristoufek \& Vosvrda (2013, \textit{Physica A 392, pp. 184-193}) which can cover different types of (in)efficiency measures. We find strong evidence of both Bitcoin markets remaining mostly inefficient between 2010 and 2017 with exceptions of several periods directly connected to cooling down after the bubble-like price surges.

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance
Česká Spořitelna
EY