0505687 20240103222145.920190620235959.9 85067389181 000482494100056 10.1016/j.physa.2019.04.089 8 s. P cav_un_epca*02574230378-4371531Elsevier Cryptocurrency Efficient market hypothesis Efficiency index Fractal dimension cav_un_auth*0256902 Department of Econometrics 50 Krištoufek Ladislav UTIA-B Ekonometrie Department of Econometrics E E CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Department of Econometrics 50 Vošvrda Miloslav UTIA-B Ekonometrie Department of Econometrics E E S Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/kristoufek-0505687.pdf https://www.sciencedirect.com/science/article/pii/S0378437119304558 cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ cav_un_auth*0351447 GJ17-12386Y GA ČR CZ We study the cryptocurrency market with respect to the efficient market hypothesis. Specifically, we are interested in testing whether the examined coins and tokens are efficient or not but we also compare the levels of efficiency within the cryptomarket. To do so, we utilize the Efficiency Index comprising the long-range dependence, fractal dimension and entropy components. Focusing on a set of historical currencies - Bitcoin, DASH, Litecoin, Monero, Ripple and Stellar - as well as popular currencies and token of the last year (with market capitalization above $0,5 billion), we uncover some surprising results. First, the historical currencies are unanimously inefficient over the analyzed period. Second, efficiency itself and ranking as well are dependent on the denomination (the US dolar or Bitcoin). Third, most of the coins and tokens were efficient between July 2017 and June 2018. And fourth, the least efficient coins turn out to be Ethereum and Litecoin whereas DASH is the winner as the most efficient cryptocurrency. WOS AH 50000 50200 50206 2020 2 RVO:67985556 http://hdl.handle.net/11104/0297106 1 S 120853 3+4 Review Cell Biology|Developmental Biology C PHYSICS.MULTIDISCIPLINARY 2.625 0.833 6.3 0.02973 0.441 31526 195 0.712 41.7 3.28 11399 Q2 1.912 1688 Q2 37.499 68.8 Q3 Q4 0.96 Q1 68.824 2019 85067389181 SCOPUS PUBMED 000482494100056 WOS cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 531 č. 1 2019 Elsevier