Publication detail

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

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2018
Number: 0
ISSN / ISBN:
Published in: Physica A: Statistical Mechanics and Its Applications 503, pp. 257-262 PDF
Publishing place:
Keywords: Bitcoin, efficient market hypothesis, efficiency index, long-range dependence, fractal dimension, entropy
JEL codes:
Suggested Citation:
Abstract: 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.
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