DCCA and DMCA correlations of cryptocurrency markets

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00522062" target="_blank" >RIV/67985556:_____/20:00522062 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/20:10403555
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S0378437119321168" target="_blank" >https://www.sciencedirect.com/science/article/pii/S0378437119321168</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2019.123803" target="_blank" >10.1016/j.physa.2019.123803</a>

Result language
angličtina
Original language name
DCCA and DMCA correlations of cryptocurrency markets
Original language description
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.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics

Project
<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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