| bibtype |
J -
Journal Article
|
| ARLID |
0522062 |
| utime |
20240103223724.2 |
| mtime |
20200211235959.9 |
| SCOPUS |
85077686384 |
| WOS |
000526845600043 |
| DOI |
10.1016/j.physa.2019.123803 |
| title
(primary) (eng) |
DCCA and DMCA correlations of cryptocurrency markets |
| 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 |
545 |
| publisher |
|
|
| keyword |
Cryptocurrency |
| keyword |
Bitcoin |
| keyword |
Correlations |
| keyword |
Detrended cross-correlation analysis |
| keyword |
Detrending moving-average cross-correlation analysis |
| keyword |
Efficiency |
| author
(primary) |
| ARLID |
cav_un_auth*0351446 |
| name1 |
Ferreira |
| name2 |
P. |
| country |
PT |
| share |
30 |
| garant |
K |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| share |
40 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0390579 |
| name1 |
Pereira |
| name2 |
E. J. D. A. L. |
| country |
BR |
| share |
30 |
|
| source |
|
| source |
|
| cas_special |
| project |
| project_id |
GJ17-12386Y |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0351447 |
|
| abstract
(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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50202 |
| reportyear |
2021 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0307301 |
| mrcbC61 |
1 |
| confidential |
S |
| article_num |
123803 |
| mrcbC86 |
1* Article Physics Multidisciplinary |
| mrcbC91 |
C |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-i |
6.77271 |
| mrcbT16-j |
0.51 |
| mrcbT16-s |
0.640 |
| mrcbT16-B |
44.13 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2020 |
| mrcbU14 |
85077686384 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000526845600043 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 545 č. 1 2020 Elsevier |
|