DCCA and DMCA correlations of cryptocurrency markets
Result 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.
Keywords
CryptocurrencyBitcoinCorrelationsDetrended cross-correlation analysisDetrending moving-average cross-correlation analysisEfficiency
The result's identifiers
Result code in IS VaVaI
Alternative codes found
RIV/00216208:11230/20:10403555
Result on the web
https://www.sciencedirect.com/science/article/pii/S0378437119321168
DOI - Digital Object Identifier
Alternative languages
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
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Czech description
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Classification
Type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica. A : Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
545
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
8
Pages from-to
123803
UT code for WoS article
000526845600043
EID of the result in the Scopus database
2-s2.0-85077686384
Basic information
Result type
Jimp - Article in a specialist periodical, which is included in the Web of Science database
OECD FORD
Applied Economics, Econometrics
Year of implementation
2020