Institute of Information Theory and Automation

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Bibliography

Journal Article

DCCA and DMCA correlations of cryptocurrency markets

Ferreira P., Krištoufek Ladislav, Pereira E. J. D. A. L.

: Physica. A : Statistical Mechanics and its Applications vol.545, 123803

: GJ17-12386Y, GA ČR

: Cryptocurrency, Bitcoin, Correlations, Detrended cross-correlation analysis, Detrending moving-average cross-correlation analysis, Efficiency

: 10.1016/j.physa.2019.123803

: http://library.utia.cas.cz/separaty/2020/E/kristoufek-0522062.pdf

: https://www.sciencedirect.com/science/article/pii/S0378437119321168

(eng): 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.

: AH

: 50202

2019-01-07 08:39