| bibtype |
J -
Journal Article
|
| ARLID |
0505687 |
| utime |
20240103222145.9 |
| mtime |
20190620235959.9 |
| SCOPUS |
85067389181 |
| WOS |
000482494100056 |
| DOI |
10.1016/j.physa.2019.04.089 |
| title
(primary) (eng) |
Cryptocurrencies market efficiency ranking: Not so straightforward |
| specification |
| page_count |
8 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
531 |
| publisher |
|
|
| keyword |
Cryptocurrency |
| keyword |
Efficient market hypothesis |
| keyword |
Efficiency index |
| keyword |
Fractal dimension |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| country |
CZ |
| garant |
K |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101230 |
| full_dept |
Department of Econometrics |
| share |
50 |
| name1 |
Vošvrda |
| name2 |
Miloslav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| garant |
S |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0281000 |
| project_id |
GBP402/12/G097 |
| agency |
GA ČR |
| country |
CZ |
|
| project |
| ARLID |
cav_un_auth*0351447 |
| project_id |
GJ17-12386Y |
| agency |
GA ČR |
| country |
CZ |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2020 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0297106 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
120853 |
| mrcbC86 |
1* Article Physics Multidisciplinary |
| mrcbC91 |
C |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-j |
0.441 |
| mrcbT16-s |
0.712 |
| mrcbT16-B |
37.499 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2019 |
| mrcbU14 |
85067389181 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000482494100056 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 531 č. 1 2019 Elsevier |
|