Publication detail

Ferreira, P. & Kristoufek, L. & Pereira, E.: DCCA and DMCA correlations of cryptocurrency markets

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D., Ferreira, P.; Pereira, E.
Type: Articles in journals with impact factor
Year: 2020
Number: 0
Published in: Physica A: Statistical Mechanics and Its Applications 545:123803 PDF
Publishing place:
Keywords: cryptocurrency; Bitcoin; correlations; detrended cross-correlation analysis; detrending moving-average cross-correlation analysis; efficiency
JEL codes:
Suggested Citation:
Grants: PRIMUS/19/HUM/17 2019-2021 Behavioral finance and macroeconomics: New insights for the mainstream
Abstract: We examine the serial correlation structure of six liquid cryptocurrencies with a long data record – Bitcoin, DASH, Stellar, Litecoin, Monero, and Ripple – with a use of the detrended cross-correlation (DCCA) and detrending moving-average cross-correlation (DMCA) correlation coefficients. We find that these cryptocurrencies behave differently from the stock markets which are much closer to the random walk (efficient) dynamics. We further discuss issues connected to strong statements about cryptocurrency markets practical inefficiency.




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